Fight Finance

Courses  Tags  Random  All  Recent  Scores

Scores
keithphw$6,001.61
Yizhou$489.18
Visitor$482.43
Visitor$370.00
allen$340.00
Visitor$300.00
Donnal$190.00
Visitor$150.00
Visitor$130.00
Visitor$119.09
Visitor$110.00
Mahmood$109.43
Visitor$100.00
Visitor$70.00
Visitor$60.00
Visitor$60.00
Visitor$50.00
Visitor$50.00
Visitor$42.65
Visitor$40.09
 

Question 834  option, delta, theta, gamma, standard deviation, Black-Scholes-Merton option pricing

Which of the following statements about an option (either a call or put) and its underlying stock is NOT correct?

European Call Option
on a non-dividend paying stock
Description Symbol Quantity
Spot price ($) ##S_0## 20
Strike price ($) ##K_T## 18
Risk free cont. comp. rate (pa) ##r## 0.05
Standard deviation of the stock's cont. comp. returns (pa) ##\sigma## 0.3
Option maturity (years) ##T## 1
Call option price ($) ##c_0## 3.939488
Delta ##\Delta = N[d_1]## 0.747891
##N[d_2]## ##N[d_2]## 0.643514
Gamma ##\Gamma## 0.053199
Theta ($/year) ##\Theta = \partial c / \partial T## 1.566433
 

 




Copyright © 2014 Keith Woodward