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Unformatted text preview: 4.50 4.75 5.00 0->Price, 1->Delta, 2->Gamma, 3->Vega, 4->Theta, 5->Rho 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? Strike 50 ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### 60 ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### Plot of price, delta, gamma, vega, theta or rho vs time to maturity for Black-Scholes model 12.0000 10.0000 40 50 60 8.0000 6.0000 4.0000 2.0000 0.0000 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 INVESTIGATES THE EFFECTIVENESS OF DELTA HEDGING FOR A WRITTEN OPTION See Tables 17.2 and 17.3 in Options, Futures, and Other Derivatives, 7e (and Tables 15.2 and 15.3 in Fundamentals, 6e) Uses Monte Carlo Simulation with the antithetic variable technique so that two trials are generated when F9 is pressed Problem 17.30 in Options, Futures, and Other Derivatives, 7e (and 15.28 in Fundamentals, 6e) is based on this application Hedging a call option - Table 13.2 Push F9 to see a new set of results Stock Price 50 Int. Rate 5% Vol 20% Strike 50 Number of Shares 100,000 T 0.3835616 IsCall TRUE Option Price Random Numbers Uniform Normal 0.23071 -0.73653 0.62400 0.31601 0.73720 0.63474 0.56946 0.17500 0.82746 0.94418 0.40339 -0.24459 0.64900 0.38262 0.03462 -1.81685 0.02028 -2.04808 0.76981 0.73822 0.40847 -0.23147 0.92315 1.42661 0.55329 0.13397 0.95003 1.64519 0.40026 -0.25268 0.29321 -0.54402 0.35567 -0.37007 0.60575 0.26827 0.86567 1.10616 0.77881 0.76819 Random Numbers Uniform Normal 0.03832 -1.77049 0.21342 -0.79463 0.78650 0.79433 0.97202 1.91132 0.47988 -0.05045 0.67237 0.44648 0.01009 -2.323...
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This document was uploaded on 04/10/2014.

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