# Sensitivity of Option Prices

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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