What is the delta of a European put option with the following parameters? s0 = $40k = $46 r = 10%sigma = 20%T = 0.75 years (required precision 0.01 +/- 0.01)   Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r

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
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What is the delta of a European put option with the following parameters?

s0 = $40
k = $46 
r = 10%
sigma = 20%
T = 0.75 years

(required precision 0.01 +/- 0.01)

 

Greeks Reference Guide:

  • Delta = ∂π/∂S
  • Theta = ∂π/∂t
  • Gamma = (∂2π)/(∂S2)
  • Vega = ∂π/∂σ
  • Rho = ∂π/∂r
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