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Below is information ( per - share ) for a 1 $ 0 2 - strike put with one year to expiration, where interest rate
Below is information pershare for a $strike put with one year to expiration, where interest rate rcontinuously compounded volatility and dividend yield
Day Day
Stock Price $ $
Option Price $ $
Delta
Theta
Gamma
Vega
Rho
A dealer sells this put option, on shares. You are to describe the dealer's hedge and evaluate profit or loss after days.
On Day how many shares does the dealer buy or sell to deltahedge the written put? Fractional shares are permissible
In this question, denote quantities to buy with a positive number and quantities to sell with a negative number.
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