Business, 14.12.2021 14:00 acontrevas1010
Calculate the delta, theta and vega of an at-the-money six-month European call option on a dividend-paying stock when the risk-free interest rate is 10% per annum and the stock price volatility is 25% per annum. The expected dividend return is 6%, current stock price of the underlying stock is 60 USD. Is it possible to Theta to limit the risk of the portfolio? How?
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Calculate the delta, theta and vega of an at-the-money six-month European call option on a dividend-...
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