68
6 The Greeks and Risk Management
Exercises
1. Calculate and for the call option given in (5.17).
2. Calculate for the put option given in (4.42) with ρ replaced by r f .
3. Compare for a call and a put option with the same strike price.
4. Calculate the value-at-risk of the two shares in the file stocks.dat from Exercise 2 in Chap. 3. Express the VaR as a fraction of the investment! First do so
for one stock at a time, then for a portfolio where the investment divided evenly
among the two stocks.
5. Sketch the profit diagram of a butterfly spread.
References
1. J.C. Hull, Options, Futures, and Other Derivatives, 8th edn. (Pearson, Boston, 2012)
2. Web site of the Basel Committee on Banking Supervision. Available online at https://www.bis.
org/bcbs/
6 The Greeks and Risk Management
Exercises
1. Calculate and for the call option given in (5.17).
2. Calculate for the put option given in (4.42) with ρ replaced by r f .
3. Compare for a call and a put option with the same strike price.
4. Calculate the value-at-risk of the two shares in the file stocks.dat from Exercise 2 in Chap. 3. Express the VaR as a fraction of the investment! First do so
for one stock at a time, then for a portfolio where the investment divided evenly
among the two stocks.
5. Sketch the profit diagram of a butterfly spread.
References
1. J.C. Hull, Options, Futures, and Other Derivatives, 8th edn. (Pearson, Boston, 2012)
2. Web site of the Basel Committee on Banking Supervision. Available online at https://www.bis.
org/bcbs/