Suppose that spot gold is at 350. Suppose the volatility of the return on gold is...

 

Transcribed Image Text:

Suppose that spot gold is at 350. Suppose the volatility of the return on gold is 15%, and the 90-day risk free rate is 4% (not annualized). a. Compute Gamma, Vega and Theta, for call and puts for the following gold prices: 330, 340, 350, 360, 370 (use the option with K = 350). b. Compute Gamma, Vega and Theta, for calls and puts, for the following times to expiration: 30, 60, 90, 120, 150 (use K= 350, S = 350) What have you learned from this exercise? Suppose that spot gold is at 350. Suppose the volatility of the return on gold is 15%, and the 90-day risk free rate is 4% (not annualized). a. Compute Gamma, Vega and Theta, for call and puts for the following gold prices: 330, 340, 350, 360, 370 (use the option with K = 350). b. Compute Gamma, Vega and Theta, for calls and puts, for the following times to expiration: 30, 60, 90, 120, 150 (use K= 350, S = 350) What have you learned from this exercise?

Answer rating: 100% (QA)

a Gamma Call 330 00019 340 00035 350 00052 360 ... View the full answer