all are giving the following information for two European call options on a stock priced...
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all are giving the following information for two European call options on a stock priced using the Black-Scholes x. You are givin formula: CO price A Vega 45-strike call 9.1189 0.7118 0.1632 55-strike call 4.5285 0.4636 0.1951 The stock price is 58. A market-maker sells a 45-strike call and delta-vega hedges it. a) Determine the number of shares of stock and 55-strike calls needed for the delta-vega hedge. b) determine the elasticity of the portfolio of calls contained in the delta-vega hedged position from the perspec- tive of the market-maker. all are giving the following information for two European call options on a stock priced using the Black-Scholes x. You are givin formula: CO price A Vega 45-strike call 9.1189 0.7118 0.1632 55-strike call 4.5285 0.4636 0.1951 The stock price is 58. A market-maker sells a 45-strike call and delta-vega hedges it. a) Determine the number of shares of stock and 55-strike calls needed for the delta-vega hedge. b) determine the elasticity of the portfolio of calls contained in the delta-vega hedged position from the perspec- tive of the market-maker
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