ecg590i_greeks_slides

# ecg590i_greeks_slides - Example on Greeks All the options...

This preview shows pages 1–3. Sign up to view the full content.

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Example on Greeks All the options in this example are European. We assume that Black-Scholes holds. This morning, S = 50 , & = 0 : 2 and r = 0 : 05 . The following options are traded on the market: Option 1: call with K = 45 , T = 26 = 52 Option 2: call with K = 50 , T = 13 = 52 Option 3: call with K = 40 , T = 52 = 52 Option 4: call with K = 45 , T = 52 = 52 Option 5: call with K = 55 , T = 26 = 52 1 We can compute the price and the greeks of these options: c 1 = 6 : 7493 & 1 = 0 : 8395 ¡ 1 = 0 : 0345 & 1 = 8 : 6191 c 2 = 2 : 3075 & 2 = 0 : 5695 ¡ 2 = 0 : 0786 & 2 = 9 : 8220 c 3 = 12 : 2944 & 3 = 0 : 9286 ¡ 3 = 0 : 0136 & 3 = 6 : 8136 c 4 = 8 : 3497 & 4 = 0 : 8097 ¡ 4 = 0 : 0272 & 4 = 13 : 5813 c 5 = 1 : 4532 & 5 = 0 : 3349 ¡ 5 = 0 : 0515 & 5 = 12 : 8787 This morning, our portfolio is composed of 10 units of option 1, 10 units of option 2 and 5 units of option 3. We want to hedge this portfolio....
View Full Document

## This note was uploaded on 10/05/2009 for the course ECG 590 taught by Professor Msmorril during the Fall '08 term at N.C. State.

### Page1 / 6

ecg590i_greeks_slides - Example on Greeks All the options...

This preview shows document pages 1 - 3. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online