costlesscollar - Asset price S Asset price S Asset price S...

Info icon This preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
collar Page 1 Costless collar - long call, short put Call/put c p 7.70 7.70 11.00 6.25 1.5000 1.5000 4.00% 4.00% 0.00% 0.00% 65.00% 65.00% Value #MACRO? Value ### Option sensitivities Option sensitivities #MACRO? ### #MACRO? ### #MACRO? ### Vega #MACRO? Vega ### #MACRO? ### #MACRO? ### Carry #MACRO? Carry ### producer: price stability: sell cap and buy floor [Delta * underlying price] / value of option = elasticity percentage of value increase in option for 1% increase in value of underlying: modified Delta
Image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Asset price ( S ) Asset price ( S ) Asset price ( S ) Strike price ( X ) Strike price ( X ) Time to maturity ( T ) Time to maturity ( T ) Risk-free rate ( r ) Risk-free rate ( r ) Cost of carry ( b ) Cost of carry ( b ) Volatility (σ ) Volatility (σ ) Delta ∆ Delta ∆ Elasticity Λ Elasticity Λ Gamma Γ Gamma Γ Theta Θ Theta Θ Rho ρ Rho ρ...
View Full Document

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern