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The Moon company currently (t 1 ) sells for 100 $ . The annual stock price volatility is %10 and risk- free interest rate %8,

  1. The Moon company currently (t1) sells for 100 $ . The annual stock price volatility is %10 and risk- free interest rate %8, the price of a call on a companys stock with strike price 120 $ and time period 2 months. Changes in parameters in period t2 are as shown in the table.

t2

Price

110

volatility

%8

period

3 months

Risk free interest rate

%5

  1. What is the option price changes if delta value 0.05?
  2. What is the Gamma value of the stock?
  3. What is the Vega value of the stock?
  4. What is the option price changes if theta value 0.04?
  5. What is the Rho value of stock?

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