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From the information given below find out the sensitivity of the option price by calculating   Spot Price 1750 Strike price 1670 Risk-free rate (continuously compounded) 8% Standard Deviation of returns 0.35 d1 0.3854 d2 0.2117   Delta Theta Vega Rho

From the information given below find out the sensitivity of the option price by calculating   Spot Price 1750 Strike price 1670 Risk-free rate (continuously compounded) 8% Standard Deviation of returns 0.35 d1 0.3854 d2 0.2117   Delta Theta Vega Rho

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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From the information given below find out the sensitivity of the option price by calculating

 

Spot Price

1750

Strike price

1670

Risk-free rate (continuously compounded)

8%

Standard Deviation of returns

0.35

d1

0.3854

d2

0.2117

 

  1. Delta
  2. Theta
  3. Vega
  4. Rho
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