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What is the delta of a European put option with the following parameters? s0 = $40 k = $40 r = 10% sigma = 20%
What is the delta of a European put option with the following parameters?
s0 = $40 k = $40 r = 10% sigma = 20% T = 0.75 years
(required precision 0.01 +/- 0.01)
Greeks Reference Guide:
- Delta = /S
- Theta = /t
- Gamma = (2)/(S2)
- Vega = /
- Rho = /r
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