math5621-f11-final solutions

math5621-f11-final solutions - Math 5621 Financial Math II...

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See spreadsheet on the course website: The value of the position in S 0 at time 0 is a short position 35 : 60 . It is equal to the value of S 0 multiplied by the delta in the Black-Scholes formula. The delta is the part of the Black-Scholes formula multiplied by S 0 . For a European put option use put-call parity to see that the delta is the delta of the European call option minus 1. The delta of the European call option is the usual d 1 ) = ln S 0 K + ( r f + 1 2 2 ) T p T ! delta
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This note was uploaded on 02/06/2012 for the course MATH 5421 taught by Professor Jamesbridgeman during the Spring '11 term at UConn.

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math5621-f11-final solutions - Math 5621 Financial Math II...

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