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A stock price is $50 with annual volatility of 20%. Assume a risk-free rate of 6%...

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Finance

A stock price is $50 with annual volatility of 20%. Assume arisk-free rate of 6% p.a. The strike price of a European put is $50and the time to maturity is 4 months. Calculate the followingGreeks for the put:

11.1 Delta

11.2 Theta

11.3 Gamma

11.4 Vega

11.5 Rho

If the stock price changes by $2 over a short period of time,estimate the change in option price using the Greeks?

Answer & Explanation Solved by verified expert
4.0 Ratings (477 Votes)
All the above Greeks of a call option can be    See Answer
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A stock price is $50 with annual volatility of 20%. Assume arisk-free rate of 6% p.a. The strike price of a European put is $50and the time to maturity is 4 months. Calculate the followingGreeks for the put:11.1 Delta11.2 Theta11.3 Gamma11.4 Vega11.5 RhoIf the stock price changes by $2 over a short period of time,estimate the change in option price using the Greeks?

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