The Greek Letters Chapter 17. Goals. OTC risk management by option market makers may be problematic due to unique features of the options that are not available on exchanges. Many dimensions of risk (greeks) must be managed so that all risks are acceptable.
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*S - f = 0
– 18.90011e-0.1/2 = 1.5685 = call premium
-Cuu + u *Suueqt
Cud + u *Sudeqt
Su – Ke-r(T-t)=fu
Sd – Ke-r(T-t)=fd
Fu – F0
Fd – F0
dP»Qdt + ½GdS2
The strategy did not work well on October 19, 1987...