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(Option Greeks) A stock is trading at $60 and has an annual volatility of 25%. The risk-free interest rate is 2%. A 3-month European put
(Option Greeks) A stock is trading at $60 and has an annual volatility of 25%. The risk-free interest rate is 2%. A 3-month European put has a strike price of $55.
- What is the vega of the put? Intuitively, why is vega positive?
- If you have sold the put, how do you fully hedge your position with stock and bond?
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Essentials Of Managerial Finance
Authors: Scott Besley, Eugene F. Brigham
13th Edition
0324258755, 9780324258752
