You have the following market data: PDQ stock price:102 Riskless interest rate (simple interest, i., the Annual Percentage Rate):00% Option…
13. You have the following market data: PDQ stock price: 102 Riskless interest rate (simple interest, i.e., the Annual Percentage Rate): 8.00% Option maturity: 3 months Volatility: 0.30 Options are all European. An option is for 1 share. Fractional shares and fractional options can be traded if you want to. Options data: Strike Call price Call delta Call Gamma Put price Put delta Put gamma 95 11 .75 0.0208 2 1/2 -.25 0.0208 100 8 .63 0.0247 4 -.37 0.0247 105 6 .50 0.0261 8 -.50 0.0261 You are on the trading desk of a […]