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Given the following components of the Black Scholes equation: S= 110, X=100, r= 1%, t= 0.30, annual volatility = 20%, N(d1) = 0.83 and N(d2)
Given the following components of the Black Scholes equation: S= 110, X=100, r= 1%, t= 0.30, annual volatility = 20%, N(d1) = 0.83 and N(d2) =0.80. How much will your option price move if the underling price changes 1%?
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We can use the BlackScholes model to calculate the theoretical price of the option and then use the ...
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Finance for Non Financial Managers
Authors: Pierre Bergeron
7th edition
176530835, 978-0176530839
