Greeks

  • Thread starter Thread starter Muting
  • Start date Start date
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12/23/06
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186
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My initial input is european call option K=30, r = 0.06, sigma = 0.3. The spot price range from 1 to 100, 0.5 a tick.
Below is the greeks I get for different spot prices at different maturity.

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Hi.
I have taken the initial inputs similar to what muting has taken. Attached is my output for the variation of all the greeks with the spot price.

Sandeep
 

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question

Hi.
I have taken the initial inputs similar to what muting has taken. Attached is my output for the variation of all the greeks with the strike price.

Sandeep

Sandy:

One question:

Why do you write Strike price K on your x-axis? The x-axis should be the spot price.

Muting
 
Hello Everyone..
I have taken the initial values same as Muting/Sandy. Values can be changed in the worksheet itself to see the variation in the Greeks..

-
Anshul.
 

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Thanks for pointing out Muting..
I have corrected it now.

Sandeep
 
Put Options too..

The files posted here have graphs only for the Call Options. We also need to make the corresponding graphs for the Put Options.
 
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