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  3. 3. suppose you had written the gbp option from the

3. Suppose you had written the GBP option from the previous question. You now need...

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Accounting

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3. Suppose you had written the GBP option from the previous question. You now need to hedge the option, and in order to do so, have decided to calculate Delta (A), Gamma (T) and Theta (O). (a) Calculate the three quantities using the finite difference technique, using d of 0.001. Hint: This may be done quite quickly in excel. (b) Now compare your solutions to the results from the formulae in the textbook. 3. Suppose you had written the GBP option from the previous question. You now need to hedge the option, and in order to do so, have decided to calculate Delta (A), Gamma (T) and Theta (O). (a) Calculate the three quantities using the finite difference technique, using d of 0.001. Hint: This may be done quite quickly in excel. (b) Now compare your solutions to the results from the formulae in the textbook

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