Partial derivatives at maturity

Assignment Help Operation Management

Reference no: EM131013087

Assume the interest rate is zero and also assume that both call and put options with respective values Ct(St,K) and Pt(St, K) are differentiable functions of the strike K. (a) Derive a relation between partialCt(St, K)/partialK and partialPt(St, K)/partialK for t = 0 and t = T. (b) Find the values of these partial derivatives at maturity t = T.

Reference no: EM131013087

Questions Cloud

What is the velocity in the pipeline : An 18-inch storm drain (n=0.013 | s=0.025) is designed to discharge 9.75 CFS. The design guidelines state that the velocity can not exceed 10 ft/s in the pipeline. What is the velocity in the pipeline?

Find inverse function in given problem : Suppose that f(x) = 6x + 2 cosx is differentiable and has an inverse and f(π/2) = 3π. Find (f-1)'(3π)

Company accounts receivable turnover : A+ Airplanes normally sells $125,000 of its product on credit each day, and it takes an average of 40 days to collect the credit sales. (a) What is the average accounts receivable that is reported on A+'s balance sheet? (b) What is the company's ..

Use backslash matlab operator for solving the systems : The programme solves a linear system of equations using naïve Gaussian elimination. Modify this programme so that it outputs upper and lower triangular matrices of LU factorisation.

Partial derivatives at maturity : Derive a relation between partialCt(St, K)/partialK and partialPt(St, K)/partialK for t = 0 and t = T. (b) Find the values of these partial derivatives at maturity t = T.

Calculate magnitude and direction of the horizontal force : A 90 degree bend occurs in a 0.3 m horizontal pipe in which the pressure is 276 kPa. Calculate the magnitude and direction of the horizontal force on the bend when 0.28 m^3/s of water flow therein.

Inflation and interest rates : What would you expect the nominal rate of interest to be if the real rate is 3.8 percent and the expected inflation rate is 7.3 percent? The nominal rate of interest would be []%. (Round to Iwo decimal places.)

Calculate magnitude and direction of the total force on bend : A 6-in. horizontal pipe line bends through 90 dgree and while bending changes its diameter to 3 in. The pressure in the 6-in. pipe is 30 psi , and the direction of flow is from larger to smaller. Calculate the magnitude and direction of the total ..

Describe in plain english what is the radius of gyration : Describe in plain English what the radius of gyration is. State the definition of an improper integral a∫∞ f (x)dx. Let F'(x) = f (x). In R3 (3-space), what does z usually represent?

User Account

All Pages