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A stock is trading at $50 and has an annual volatility of 30%. The risk-free interest rate is 3%. A 6-month European call and a
- A stock is trading at $50 and has an annual volatility of 30%. The risk-free interest rate is 3%. A 6-month European call and a 6-month European put both have a strike price of $48.
- What is the delta of the call? If stock price falls to $49, what is the approximate change to the value of the call based on delta?
- What is the delta of the put? If stock price falls to $49, what is the approximate change to the value of the put based on delta?
- What is the theta of the call? In one trading day, what is the approximate change to the value of the call based on theta?
- What is the theta of the put? In one trading day, what is the approximate change to the value of the put based on theta?
- What is the vega of the call/put? If volatility jumps by 1% today, what is the approximate change to the value of the call/put based on vega?
- What is the rho of the call? If the Fed raises interest rate by 0.25% today, what is the approximate change to the value of the call based on rho?
- What is the rho of the put? If the Fed raises interest rate by 0.25% today, what is the approximate change to the value of the put based on rho?
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Fundamentals Of Institutional Asset Management
Authors: Frank J Fabozzi, Francesco A Fabozzi
1st Edition
9811220034, 9789811220036
