costlesscollar

costlesscollar - Asset price ( S ) Asset price ( S ) Asset...

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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
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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 ( ) Volatility ( ) Delta Delta Elasticity Elasticity Gamma Gamma Theta Theta Rho Rho...
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This note was uploaded on 03/10/2008 for the course FINC 782 taught by Professor Mcnew during the Spring '08 term at Tulane.

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