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alan711031
September 17th 2007, 08:50 AM
I don't understant why the answer says the delta for this position is 0 ?

and the interest cost can be that equation: rh(delta*S-C)

econguy
September 20th 2007, 12:17 AM
I don't understant why the answer says the delta for this position is 0 ?

and the interest cost can be that equation: rh(delta*S-C)

delta is not zero, and it is given. ignore it. just use the following formula u will be fine
MMP=-(.5 x Gamma x e^2 + theta x h + rh x(delta x S(0)-C(0)))
hope it helps

econguy
September 20th 2007, 06:43 PM
I don't understant why the answer says the delta for this position is 0 ?

and the interest cost can be that equation: rh(delta*S-C)

sorry, i forgot to mention about the interest approximation.
rh*(delta*S-C) is just approximation for (e^rh-1)(delta*S-C)

alan711031
September 21st 2007, 08:48 AM
your explaination is very clear, thanks a lot.