Quantitative Finance
# Option Greeks

What can we say about the vega of an ATM option?

As volatility increases, what happens to the price of an option?

Which of the following is not a good approximation for delta of a call option?

When the stock is trading at $115, the put option on the $113 strike with 30 days to expiry is worth $1.34. It has a delta of -0.3357 and a gamma of 0.062.

How much would the put option be worth if the underlying increases to $117?

×

Problem Loading...

Note Loading...

Set Loading...