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For the following values, S=100,=8%,=15%K=100Rf=3%25%ImpliedvolatilityT=1Year No dividends Calculate the delta hedge for a sold position of 100,000 call options like in the book using 100
For the following values, S=100,=8%,=15%K=100Rf=3%25%ImpliedvolatilityT=1Year No dividends Calculate the delta hedge for a sold position of 100,000 call options like in the book using 100 (or more) trials. Stock paths are generated with RW mean and RW volatility . - Calculate the average value and standard deviation of the trials using Weekly (52) steps? - Calculate the average value and standard deviation of the trials using Daily (252) steps? - Compare to the Black-Scholes value? - Redo the analysis with RW =20% ? - Redo the analysis with RW =4% ? For the following values, S=100,=8%,=15%K=100Rf=3%25%ImpliedvolatilityT=1Year No dividends Calculate the delta hedge for a sold position of 100,000 call options like in the book using 100 (or more) trials. Stock paths are generated with RW mean and RW volatility . - Calculate the average value and standard deviation of the trials using Weekly (52) steps? - Calculate the average value and standard deviation of the trials using Daily (252) steps? - Compare to the Black-Scholes value? - Redo the analysis with RW =20% ? - Redo the analysis with RW =4%
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