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6. A call option on 1 unit of British Pounds, paid for in USD, is given by the following model: c=S(t)erGBPN[d1]KerUSDN[d2] ... where d1=logS(t)/K+((rUSDrGBP)+2/2) ...and
6. A call option on 1 unit of British Pounds, paid for in USD, is given by the following model: c=S(t)erGBPN[d1]KerUSDN[d2] ... where d1=logS(t)/K+((rUSDrGBP)+2/2) ...and d2=logS(t)/K+((rUSDrGBP)2/2) Find the delta/gamma/vega for this option. 6. A call option on 1 unit of British Pounds, paid for in USD, is given by the following model: c=S(t)erGBPN[d1]KerUSDN[d2] ... where d1=logS(t)/K+((rUSDrGBP)+2/2) ...and d2=logS(t)/K+((rUSDrGBP)2/2) Find the delta/gamma/vega for this option
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De Gruyter Handbook Of Personal Finance
Authors: Grable, John E., Chatterjee, Swarn
1st Edition
3110727498, 978-3110727494
