Calculate the delta, Calculate the Delta

Calculate the delta

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Reference no: EM13327030

Consider a binomial model with S0 = 50, u = 1.25, d = 8, Rf= 0.05, T = 1, 2 and 3 and strike price X = 50.
1. Compute the price of a 1, 2, 3 period American Call Option.
2. Compute the price of a 1, 2, 3 period European Call Option.
3. Find the 1, 2, and 3 period American and European Put Option prices for this stock.

Find the Black Scholes Option Prices for both call option and put for the following parameter values: S = 50, x = 50, Rf = .05 / year, Sigma = .2225 and time period of 1, 2, 3.

Also calculate the Delta, Gamma, Vega and Rho.

Reference no: EM13327030

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