Problem 12.11 showed how to compute approximate Greek measures for an option. Use this technique to compute

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Problem 12.11 showed how to compute approximate Greek measures for an option. Use this technique to compute delta for the gap option in Figure 14.3, for stock prices ranging from $90 to $110 and for times to expiration of 1 week, 3 months, and 1 year. How easy do you think it would be to hedge a gap call? Discuss.

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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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