Markets: A Rigorous Course

M08 · Problem 12 ★ Check

Greeks in numbers

For Hull's example (S=42S=42, K=40K=40, r=10%r=10\%, q=0q=0, σ=20%\sigma=20\%, T=0.5T=0.5): (a) Compute d1d_1, d2d_2, the call and put prices, and all five Greeks of each. (b) Verify the relations Δc−Δp=1\Delta_c-\Delta_p=1, Γc=Γp\Gamma_c=\Gamma_p, Vc=Vp\mathcal V_c=\mathcal V_p, Θp−Θc=rKe−rT\Theta_p-\Theta_c=rKe^{-rT}, ρc−ρp=KTe−rT\rho_c-\rho_p=KTe^{-rT}. (c) Express theta per calendar day and vega per vol point.

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Commas, ₹, % and 1e-3 notation are accepted.

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