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 riskfree asset. Determine the price of an European call option on this nondividend paying asset at time 0. • Using the same contract speciﬁcations as above, ﬁnd the price at time 0 of the American call option. Exercise: The BlackScholes Greeks. Please see formulas on page 198 of the textbook. • Using r = 0 . 03, σ = 0 . 2, T = 1, K = 100, graph the delta and gamma of a European Call option on a nondividend paying asset for initial stock prices 50 ≤ S ≤ 150. 1...
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 Winter '08
 DURAN
 matlab, Mathematical finance, Mathematics of Finance

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