Question
1. What is the formula for the delta of the option as a function of (S0, U, D, R, VU, VD)? Consider a call option
1. What is the formula for the delta of the option as a function of (S0, U, D, R, VU, VD)?
Consider a call option for an asset with the following parameters
Current spot price is $50 Option expires in 12 months
Each month the asset could increase in value by 3% or decrease in value by inverse
The risk free rate is 25 basis points per month S0 = $50, T=12, U=1.03, D=1/1.03, R=1.0025
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The Commercial Aircraft Finance Handbook
Authors: Ronald Scheinberg
2nd Edition
1138558990, 978-1138558991
