Question
What is the gamma of a European call option with the following parameters? s0 = $40 k = $40 r = 10% sigma = 20%
What is the gamma of a European call option with the following parameters?
s0 = $40 k = $40 r = 10% sigma = 20% T = 0.75 years
In order to avoid precision issues with Excel, please use an epsilon of 0.0001.
(required precision 0.0001 +/- 0.0002)
Greeks Reference Guide:
- Delta = /S
- Theta = /t
- Gamma = (2)/(S2)
- Vega = /
- Rho = /r
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Personal Finance
Authors: Jeff Madura
5th edition
132994348, 978-0132994347
