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)

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

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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)

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

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)

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.

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