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Consider a 40-strike put with 90 days to expiration. Note that S=40, =0.30, r=0.08, and delta = 0. a) Compute the delta-gamma approximation by hand.
Consider a 40-strike put with 90 days to expiration. Note that S=40, =0.30, r=0.08, and delta = 0.
a) Compute the delta-gamma approximation by hand.
b) Compute the delta-gamma-theta approximation by hand.
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