Exercise 2.7 Compute the greeks (delta, gamma, vega) for an exchange option. How do they relate to

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Exercise 2.7 Compute the greeks (delta, gamma, vega) for an exchange option. How do they relate to the greeks of a call option on one asset? How much does one have to invest in the risk-free asset to replicate exactly the payoff?

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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 06:00 AM

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Exercise 2.7 Compute the greeks (delta, gamma, vega) for an exchange option. How do they relate to the greeks of a call option on one asset? How much does one have to invest in the risk-free asset to...
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Exercise 2.7 Compute the greeks (delta, gamma, vega) for an exchange option. How do they relate to

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Statistical Methods For Financial Engineering

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