2. Use the data from exercise 1 and Data|Table to produce graphs that show a. The sensitivity...

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2. Use the data from exercise 1 and Data|Table to produce graphs that show

a. The sensitivity of the Black-Scholes call price to changes in the initial stock price S.

b. The sensitivity of the Black-Scholes put price to changes in σ.

c. The sensitivity of the Black-Scholes call price to changes in the time to maturity T.

d. The sensitivity of the Black-Scholes call price to changes in the interest rate r.

e. The sensitivity of the put price to changes in the exercise price X.

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Financial Modeling

ISBN: 9780262024822

2nd Edition

Authors: Simon Benninga

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