Question
Using the explicit solutions for the European call and put options, check that put-call parity holds. Then, use put-call parity to find the relationships between
Using the explicit solutions for the European call and put options, check that put-call parity holds. Then, use put-call parity to find the relationships between the deltas, gammas, and vegas of European call and put options. Finally, Write down the pseudocode for getting delta and for getting gamma.
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Transactions On Large Scale Data And Knowledge Centered Systems Vi Special Issue On Database And Expert Systems Applications Lncs 7600
Authors: Abdelkader Hameurlain ,Josef Kung ,Roland Wagner ,Stephen W. Liddle ,Klaus-Dieter Schewe ,Xiaofang Zhou
2012th Edition
3642341780, 978-3642341786
