Reference no: EM131237931
Consider a 1-year European call option on a stock when the stock price is $30, the strike price is $30, the risk-free rate is 5%, and the volatility is 25% per annum.
Use the DerivaGem software to calculate the price, delta, gamma, vega, theta, and rho of the option.
Verify that delta is correct by changing the stock price to $30.1 and recomputing the option price.
Verify that gamma is correct by recomputing the delta for the situation where the stock price is $30.1.
Carry out similar calculations to verify that vega, theta, and rho are correct. Use the DerivaGem Applications Builder functions to plot the option price, delta, gamma, vega, theta, and rho against the stock price for the stock option.
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: Use the DerivaGem software to calculate the price, delta, gamma, vega, theta, and rho of the option. - Verify that delta is correct by changing the stock price to $30.1 and recomputing the option price.
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