This preview shows pages 1–2. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
Unformatted text preview: ACTSC/STAT 446/846 Assignment #4 Due date: April 3rd, 2009 Note: Recall that, when handing in your assignment, you are requested to use a cover page showing only your UWID number and your section (846 students: also write “846” on the cover page) and to write your full name on the next page. Assignments must be handed in during the TAs office hours before or on the due date (see the Calendar on UWACE for details). Let W = { W t ,t ≥ } be a Pstandard Brownian motion. 1. A gap call option is an "option" with payoff X = ( S T K 1 ) I { S T ≥ K 2 } . Compute the premium of this option in BlackScholes model: (a) if K 1 ≤ K 2 ; (b) if K 1 > K 2 . 2. In BlackScholes model, compute Δ and Γ for a call option. Using putcall parity, compute Δ and Γ for an otherwise identical put option. Explain briefly (and intuitively) what happens to Δ when S is very big/small? 3. A deferred up rebate option with maturity T is an option that pays $1 at maturity only if the stock price touches/crosses a barrier at level B during the life of the option....
View
Full
Document
This note was uploaded on 01/16/2011 for the course ACTSC actsc 446 taught by Professor Idk.. during the Spring '09 term at Waterloo.
 Spring '09
 idk..

Click to edit the document details