Table data see exercise4 for a practice for array

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: ck) – higher stock price means better profits from call option price The price change of a put option is negatively related The to the price of its underlying asset (stock) – lower stock price means better profits from put option price 15-17 Delta in excel • See “BS delta” • See “SuperBS” that computes both prices and delta • See “BS array” that outputs both prices and delta • See “BS table” that outputs both prices and delta in See Data Table Data • See “Exercise4” for a practice for array output 15-18 Gamma (Γ) - Gamma: represents how delta changes with Gamma: respect to stock prices (2nd order effect) (2 Γ call = ∂ 2 c / ∂S 2 = ∂[e − qT N (d1 )] /∂S = N ′(d1 ) e − qT /Sσ T Γ put = ∂ 2 p / ∂S 2 = ∂[− e − qT N (− d1 )]/∂S = N ′(d1 ) e − qT /Sσ T N ′(d1 ) = e − d12 / 2 / 2π The gammas of call and put are the same The See “Greeks” tab See 15-19 Vega - Vega: represents the sensitivity of option price to Vega: stock volatility stock Vega(call ) = ∂c / ∂σ = ∂[ S e − qT N (d1 ) − K e − rT N (d 2 ) ]/∂σ = Se −qT N ′(d1 ) T > 0 Vega( put ) = ∂p / ∂σ = ∂[ K e −rT N (−d 2 ) − S e −qT N (−d1 ) ]/∂σ...
View Full Document

This document was uploaded on 03/03/2014.

Ask a homework question - tutors are online