(a) Compute the greeks for a European binary call option. (b) Compute the greeks for a European...

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(a) Compute the greeks for a European binary call option.

(b) Compute the greeks for a European put option.

(c) For a European option with payoff Φ{S(T )}, show that Γ = V s2στ .
Hint: Use representation (1.20).

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Statistical Methods For Financial Engineering

ISBN: 9781032477497

1st Edition

Authors: Bruno Remillard

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Question Posted: Oct 26, 2024 05:00 AM

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(a) Compute the greeks for a European binary call option. (b) Compute the greeks for a European...

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Statistical Methods For Financial Engineering

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