You purchased 100 contracts of 1200 strike call for a stock that is worth $1000 with 10

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You purchased 100 contracts of 1200 strike call for a stock that is worth $1000 with 10 days to expiration. Annual sigma is $800.

Q3a. What are the delta and gamma and theta of the call option?

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Posted Date: May 09, 2023 06:01 AM

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You purchased 100 contracts of 1200 strike call for a stock that is worth $1000 with 10

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Expert Answer:

SOLUTION To calculate the delta gamma and theta of the call option we will use the BlackScholes model The BlackScholes model is a mathematical formula ... View the full answer

Bond Markets Analysis and Strategies

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