Question
1d) Let S = $38, s = 28%, r = 5%, and d = 1% (continuously compounded). Compute the Black-Scholes gamma (G) of a $45-strike
| 1d) Let S = $38, s = 28%, r = 5%, and d = 1% (continuously compounded). Compute the Black-Scholes gamma (G) of a $45-strike European call option with 3 months until expiration. | ||||||||||
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Local Public Finance
Authors: René Geissler, Gerhard Hammerschmid, Christian Raffer
1st Edition
3030674681, 978-3030674687
