Sensitivity of Option Prices

| December 12, 2015

Sensitivity of Option Prices

Paper details:

The layout of your project is:

Cover page

Table of contents

Introduction (Brief introduction of Black and Scholes model)

Figures & Analysis

Conclusion (summary of your results) .

no plagiarism are allowed
Introduction:
Option prices and their sensitivity depend on many factors including stock prices and volatility. In this project you are asked to produce a replication of three figures: 1) the option price as a function of S0, 2) the option delta as a function of S0, and 3) the option Vega as a function of S0. You are also asked to analyze these graphs and understand the patterns they show.
Project Requirements

Use the data you are provided with on blackboard to replicate and interpret the following figures
• Call price as a function of the current underlying price S0
• Call delta as a function of the current underlying price S0
• Call Vega as a function of the current underlying price S0
• Carefully interpret the three figures. Make sure you are not simply describing the figures but that you are answering the question of why we observe the pattern.
The recommended layout of your project is suggested to be as follows:
Cover page
Table of contents
Introduction (Brief introduction of Black and Scholes model)
Figures &Analysis
Conclusion (summary of your results).
no plagiarism are allowed
The layout of your project is:
Cover page
Table of contents
Introduction (Brief introduction of Black and Scholes model)
Figures & Analysis
Conclusion (summary of your results) .
no plagiarism are allowed

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Fall 2015 CHY482 Take - home final exam Due date: Mon day December 15, 2015 at 1800 via email The c rystallization of materials such as wax es , triglycerides and polymers involves the nucleation and growth of molten species into an ordered crystal lattice typically as a result of cooling . During solidification, the surface of newly - formed crystals is surrounded by layers of molten species that are about to solidify (i.e., in an incipient state of crystallization) . To this day, however, there remains little information regarding the solid - liquid interfacial tension ( ? s l ) that exists between the solidified material and its liquid - state counterpart . Presumably the value of ? s l is low (likely well below 1 mN/m) , though there exists little scientific validation o f this point. Nevertheless , numerous models over the past few years have tended towards this conclusion. Taking into account everything that you have been exposed to in CHY482 as well as the large body of information available in monographs and peer - revie wed scientific journal articles , please answer the following questions . The % breakdown is shown in brackets following each question : i) Please provide a definition of ? s l (20%). ii) What are the intra - and inter - molecular forces at play in ? s l (40%)? iii) Using the scientific literature on research in many fields as a guide (e.g., polymers, pharmaceutical, food science, etc.) , please provide and describe possible methods that are (or may be) used to determine ? s l . Your chosen approach(es) may be experimental and /or computer simulation - based (40%) . You must work individually . Answers to these questions should total 6 pages maximum double - spaced. Other pages may consist of your title page, references, etc. Within the 6 pages, you may wish to includ e figures that assist in conveying a certain point. Please do not feel that you have to fill the 6 pages! Use 12 pt Times New Roman font and 1” margins. You must include 5 relevant references in a consistent referencing style. The course notes are one acceptable reference. 12 Fall 2015 CHY482 Take - home final exam Due date: Mon day December 15, 2015 at 1800 via email The c rystallization of materials such as wax es , triglycerides and polymers involves the nucleation and growth of molten species into an ordered crystal lattice typically as a result of cooling . During solidification, the surface of newly - formed crystals is surrounded by layers of molten species that are about to solidify (i.e., in an incipient state of crystallization) . To this day, however, there remains little information regarding the solid - liquid interfacial tension ( ? s l ) that exists between the solidified material and its liquid - state counterpart . Presumably the value of ? s l is low (likely well below 1 mN/m) , though there exists little scientific validation o f this point. Nevertheless , numerous models over the past few years have tended towards this conclusion. Taking into account everything that you have been exposed to in CHY482 as well as the large body of information available in monographs and peer - revie wed scientific journal articles , please answer the following questions . The % breakdown is shown in brackets following each question : i) Please provide a definition of ? s l (20%). ii) What are the intra - and inter - molecular forces at play in ? s l (40%)? iii) Using the scientific literature on research in many fields as a guide (e.g., polymers, pharmaceutical, food science, etc.) , please provide and describe possible methods that are (or may be) used to determine ? s l . Your chosen approach(es) may be experimental and /or computer simulation - based (40%) . You must work individually . Answers to these questions should total 6 pages maximum double - spaced. Other pages may consist of your title page, references, etc. Within the 6 pages, you may wish to includ e figures that assist in conveying a certain point. Please do not feel that you have to fill the 6 pages! Use 12 pt Times New Roman font and 1” margins. You must include 5 relevant references in a consistent referencing style. The course notes are one acceptable reference.
correlation

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