17107408 0898 501762565 0899 5018147602 09 5018673336

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Unformatted text preview: 1339 0.907 50.22465689 0.908 50.23024463 0.909 50.23587753 0.91 50.24155654 0.911 50.24728262 0.912 50.2530568 0.913 50.25888012 0.914 50.26475365 0.915 50.27067851 0.916 50.27665585 0.917 50.28268686 0.918 50.28877278 0.919 50.29491487 0.92 50.301114473 0.921 50.30737295 0.922 50.31369172 0.923 50.32007225 0.924 50.32651608 0.925 50.3330248 0.926 50.33960004 0.927 50.34624353 0.928 50.35295704 0.929 50.35974243 0.93 50.36660162 0.931 50.37353662 0.932 50.38054953 0.933 50.38764252 0.934 50.39481788 0.935 50.402077969 0.936 50.40942528 0.937 50.41686241 0.938 50.42439208 0.939 50.43201711 0.94 50.4397405 0.941 50.44756535 0.942 50.45549496 0.943 50.46353275 0.944 50.47168235 0.945 50.47994756 0.946 50.488332376 0.947 50.49684103 0.948 50.50547796 0.949 50.514247889 0.95 50.523155774 0.951 50.53220688 0.952 50.54140678 0.953 50.550761389 0.954 50.560276986 0.955 50.56996025 0.956 50.57981829 0.957 50.589858702 0.958 50.60008957 0.959 50.61051958 0.96 50.62115799 0.961 50.63201477 0.962 50.643100643 0.963 50.65442713 0.964 50.66600668 0.965 50.67785276 0.966 50.68997997 0.967 50.70240414 0.968 50.71514255 0.969 50.72821404 0.97 50.74163925 0.971 50.75544084 0.972 50.76964377 0.973 50.78427564 0.974 50.79936703 0.975 50.81495205 0.976 50.831068789 0.977 50.84776006 0.978 50.86507419 0.979 50.88306601 0.98 50.90179811 0.981 50.92134237 0.982 50.94178197 0.983 50.96321386 0.984 50.98575202 0.985 51.00953181 0.986 51.03471566 0.987 51.06150095 0.988 51.09013093 0.989 51.12091034 0.99 51.15422828 0.991 51.19059304 0.992 51.23068701 0.993 51.27545774 P o r t f ol i o V a l ue Analytic VaR #MACRO? 47 48 49 Asset Price 50 51 52 53 CALCULATION OF A STATIC OPTIONS REPLICATION POSITION Carries out calculations for the example in Section 24.14 of Options, Futures and Other Derivatives, 7e Problem 24.27 in Options, Futures, and Other Derivatives, 7e is based on this application Barrier Option Stock 50 Strike 50 Barrier 60 r 10.00% q 0% vol 30% t 0.75 IsUp IsIn IsCall 60 60 60 50 60 60 60 60 60 60 60 60 60 60 60 60 60 60 60 50 0 = Price 1 = Delta 2 = Gamma 3 = Vega Hedge Portfolio Number needed to Hed...
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This document was uploaded on 04/10/2014.

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