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Consider a 2-month European call option on Exxon Mobild (XOM) stock use any online OIC options calculator and with the help of at-the-money call option,
Consider a 2-month European call option on Exxon Mobild (XOM) stock use any online OIC options calculator and with the help of "at-the-money" call option, use the data provided by options calculator to calculate the options:
price;
delta;
gamma;
vega;
theta;
rho;
i) explain briefly how to interpret each of these greeks?
ii) Verify the delta is correct by changing the stock price by $0.10 and recomputing the option price.
iii) Verify the gamma is correct by recomputing the delta with the same increase in price as in (ii).
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