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Unformatted text preview: r = 0 . 06 , u = 0 . 059, d =-. 0562, S = 100, K = 100, T = 1, 4 t = 1 / 12. Note that u and d are monthly returns and r is the annual rate of return on a risk-free asset. Determine the price of an European call option on this non-dividend paying asset at time 0. Using the same contract specications as above, nd the price at time 0 of the American call option. Exercise: The Black-Scholes Greeks. Please see formulas on page 198 of the textbook. Using r = 0 . 03, = 0 . 2, T = 1, K = 100, graph the delta and gamma of a European Call option on a non-dividend paying asset for initial stock prices 50 S 150. 1...
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This note was uploaded on 12/31/2011 for the course MATH 423 taught by Professor Duran during the Winter '08 term at University of Michigan.
- Winter '08