期权的风险管理与复制-金融工程.pdfVIP

第19章期权的风险管理与复制 http:// zlzheng@ Copyright © 2018 Zhenlong Zheng   Delta  Theta  Gamma  Vega rho  Copyright © 2018 Zhenlong Zheng 2 Example A bank has sold for $300,000 a European call option on 100,000 shares of a non-dividend paying stock S0 = 49, K = 50, r = 5%, = 20%,