Consider a 40-strike call with 91 days to expiration. Graph the results from the following calculations. a.
Question:
a. Compute the actual price with 90 days to expiration at $1 intervals from $30 to $50.
b. Compute the estimated price with 90 days to expiration using a delta approximation.
c. Compute the estimated price with 90 days to expiration using a delta-gamma approximation.
d. Compute the estimated price with 90 days to expiration using a delta-gammatheta approximation. Discuss.
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See Figure 1 Note there is no visible difference between the D G a...View the full answer
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