Question
The National Stock Index is currently 573.70. A European call option, written on the index, with strike 545.00, matures in 10 months. The index pays
The National Stock Index is currently 573.70. A European call option, written on the index, with strike 545.00, matures in 10 months. The index pays dividends at a rate of 1.00%, and has volatility 25.00%. The (continuously compounded) interest rate is 9.30%. What is the option's gamma?
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Personal Finance For Musicians
Authors: Bobby Borg
1st Edition
1538163306, 978-1538163306
