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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,
- 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 |
- What is the option price changes if delta value 0.05?
- What is the Gamma value of the stock?
- What is the Vega value of the stock?
- What is the option price changes if theta value 0.04?
- What is the Rho value of stock?
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