What is the delta of a European put option with the following parameters? s0 = $40k = $47 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

What is the delta of a European put option with the following parameters? s0 = $40k = $47 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

Section: Chapter Questions

Problem 1PS

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Question

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

s0 = $40
k = $47
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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the question is in the attached image.
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