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174 Quiz4 - 055209010 18:09#010 P.00L’001 810601828...

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Unformatted text preview: 055209010 18:09 #010 P.00L’001 810601828 Froml80n1 in Consulting Math 174 Quiz (4) 5/7 Name: S @1125 'G ABC company’s stock currently sells {01755100. It does not pay dividends k : . S > The pfice of a 6-month European $90-S1'rike Call is 316.9663 e < A: .3376, F=.0311 9:45.67 1: .10 k c '5 65 A market maker sells 1,000 of this Call and inunediately delta—hedges her position. What is the invesunent needed to create the delta hedge? A w = < $37. as > One day later, ABC stock price is $99.5. Estimate the price of the C931 using Delta~Gamma~ Theta approximation. What is the market—maker’s overnight profit? m _ 3;) VCH Q _ (mega «r ~137ta¢<¢>+ {y '03l(*<-S?Zr3‘:‘§<ts-(,7> ~: “.7! SQS W 0&1 c6 ow l ,____r $15: tom CM» 4193:2910 < k'al'TSVw'S-U> vest-aw <sv>.7ca.o> new“ W Mimi-‘3“: 001%.» I . / 4; Wire <— M WM WW =<L6,'1‘{1-7';> W: aw” (mm 19; :19 W23 fiweflm TanWi - £*<§L;{,glt>* figs: tn W 7 w;g*<“"m ? «-_-;_::"_ " ‘L L-X<§?2X- 03H "‘ ' 5&3 '5 .... . _.... _ — . 663 (LS-67> l‘t‘ug ISO! 3376 Us? ] : “OER—“ESL W (m Crib ‘0‘Hkutx lam) : EELKLHL ...
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