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Check out this post: http://www.macroption.com/option-greeks-excel/ Let me know if it answers your query. The Excel equations used to calculate Delta, Gamma, Theta and Vega are shown in the above link.


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You haven't written down your equations correctly. Ignoring discounting, the equations should be: C(70)-P(70)= -4 (not 66), from put-call parity. Also, C(70) + P(70)= 27; from these two we get C(70)= 11.5 and P(70)=15.5 Also P(60)-P(50)= 2.5 and P(70)-2P(60)+P(50)=0.2 from which P(70)-P(60)=2.7, hence P(60)=12.8 and P(50)=10.3 so now we know all the ...



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