Question
The following table lists the price of a share in Lachlin Bank and the price of its corresponding European option: Lachlin Bank Price History Year
The following table lists the price of a share in Lachlin Bank and the price of its corresponding European option:
Lachlin Bank Price History | ||
Year | Price of Share ($) | Price of Option ($) |
2001 | 50 | 10 |
2002 | 51 | 15 |
2003 | 52 | 25 |
With the above information, calculate the following greek letters, assuming that the delta is constant in the ranges $50 to $51, and $51 to $52, and the gamma is constant in the range $50 to $52. Give your answer to 3 decimal places.
a)Delta of the share when price is between $50 and $51 =
b)Delta of the share when price is between $51 and $52 =
c)Gamma of the share when price is between $50 and $52 =
Could you please provide formulas to follow for both Delta and Gamma?
Thank you
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