You are an options trader who is bullish on a dramatic jump (up or down) in the price of the underlying asset. However, you are concerned that the sensitivity of your option’s price to the jump of the underlying’s price will decay quickly. Therefore, you decide to calculate a new option greek, which you name “color,” which measures how the sensitivity changes over time. How would you find a formula for color?
The MOST common cause of addisonian crisis is:
The MOST common cause of addisonian crisis is:
The chemical mediators that initiate and maintain the immune…
The chemical mediators that initiate and maintain the immune response are:
Suppose an investor wants to replicate a call option on the…
Suppose an investor wants to replicate a call option on the following stock and that the assumptions of the BSOPM are correct.The underlying stock’s price is $92.75 and the annualized volatility of its log-returns is 53%. The option to be replicated has a strike price of $83.50 and a twelve-month maturity. The risk-free rate is currently 5.25% per year, continuously compounded.How much cash would the investor need to save or borrow to replicate the call? (Enter a positive number for the amount saved and a negative number for the amount borrowed. Round your answer to the nearest $0.0001.
The MOST effective ways to protect your patients from health…
The MOST effective ways to protect your patients from health care-associated infections include:
The price of ABC Co’s stock is currently $57.75 and the annu…
The price of ABC Co’s stock is currently $57.75 and the annualized volatility of its log-returns is 46%. The stock does not pay dividends. The risk-free rate is 4.00% per year, continuously compounded.If the price of ABC’s stock increases by $1, approximately how much will the BSOPM price of the three-month, 64.25-strike call change? Only use delta in the approximation.
According to the Ryan White Comprehensive AIDS Resources Eme…
According to the Ryan White Comprehensive AIDS Resources Emergency Act, the medical facility must:
Why is it important to use clear and concise subheadings in…
Why is it important to use clear and concise subheadings in a research paper?
Clinical characteristics of syndrome of inappropriate antidi…
Clinical characteristics of syndrome of inappropriate antidiuretic hormone (SIADH) include:
Unlike the effects of cocaine, the effects of methamphetamin…
Unlike the effects of cocaine, the effects of methamphetamine: