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Using the Black-Scholes call and putting option pricing models we may compute the following.
Parameter inputs: S = 55 X= 55 σ=35% r=5% T=0.25
Price Delta Gamma Vega Theta Rho
Put 3.479 -0.437 0.041 0.108 -0.017 -0.069
Call 4.162 0.563 0.041 0.108 -0.025 0.067
Question 1: How do you interpret the delta of the put option?
Question 2: How do you interpret the gamma of the call option?
Question 3: Compute the overall vega for a long position in 25 call option contracts and a short position in 25 put option contracts.
Question 4: Create a delta-neutral position from a position in the call and put options. Show that your position is delta-neutral.
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