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Strike price $45 Maturity 100 days 45 days Volatility 25% 25% Option to be hedged European put Option 1 European put $55 Option 2
Strike price $45 Maturity 100 days 45 days Volatility 25% 25% Option to be hedged European put Option 1 European put $55 Option 2 European call $60 16 days 25% Discount rate 5.30% 5.20% 5.05% Price $0.1341 $1.7457 $0.0667 Delta -0.0434 -0.4530 0.0556 Gamma 0.0128 0.0821 0.0389 Theta -0.0029 -0.0174 -0.0105 Vega 2.6513 7.6507 1.2911
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Financial statements
Authors: Stephen Barrad
5th Edition
978-007802531, 9780324186383, 032418638X
