case08 - Options sold by UBS 100.0 100.0 100.0 120.0 1.00...

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Options sold by UBS Traded options Asset price 100.0 100.0 100.0 100.0 Strike 100.0 120.0 150.0 110.0 Time (years) 1.00 1.00 1.00 0.25 Risf-free return 5.00% 5.00% 5.00% 5.00% Divident yield 0.00% 0.00% 0.00% 0.00% Volatility 0.2 0.2 0.2 0.2 Call price 10.3863 3.2168 0.3544 1.1849 Put price 5.6244 17.5025 43.2116 9.8513 Delta call 0.6346 0.2851 0.0462 0.2174 Delta put (0.3654) (0.7149) (0.9538) (0.7826) Gamma 0.0188 0.0170 0.0048 0.0294 Theta call (6.3496) (4.6300) (1.1752) (6.8836) Theta put (1.7029) 0.9460 5.7948 (1.5818) Vega 37.6029 33.9577 9.6732 14.7023 1+r_f 1.05 1.05 1.05 1.05 x 0.3440 -0.5677 -1.6834 -0.7811 N(x) 0.6346 0.2851 0.0462 0.2174 N(x2) 0.5572 0.2213 0.0298 0.1891 N'(x) 0.3760 0.3396 0.0967 0.2940 Position -200.00 -100.00 -150.00 Type Calls Puts Calls Delta -126.91 71.49 -6.92 Net delta -62.35 Gamma -3.76 -1.70 -0.73 Net gamma -6.18 Theta 1269.91 -94.60 176.28 Net theta 1351.59 (a) Buying 62.35 units of the underlying asset would make the portfolio delta-neutral (from B27) Asset price
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This note was uploaded on 11/25/2011 for the course BUSI 588 taught by Professor Staff during the Fall '10 term at UNC.

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