Compute the Black-Scholes delta and gamma for a call-option with payoff max(S T K,0) at time

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Compute the Black-Scholes delta and gamma for a call-option with payoff max(S_T — K,0) at time T.

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Market Practice In Financial Modelling

ISBN: 9789814366540

1st Edition

Authors: Tan Chia Chiang

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Question Posted: Dec 23, 2023 05:21 AM

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Compute the Black-Scholes delta and gamma for a call-option with payoff max(S T K,0) at time

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Market Practice In Financial Modelling

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