Greeks

[Muting]

My initial input is european call option K=30, r = 0.06, sigma = 0.3. The spot price range from 1 to 100, 0.5 a tick.
Below is the greeks I get for different spot prices at different maturity.

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[sandeep]

Hi.
I have taken the initial inputs similar to what muting has taken. Attached is my output for the variation of all the greeks with the spot price.

Sandeep

 

[Muting]

question

Hi.
I have taken the initial inputs similar to what muting has taken. Attached is my output for the variation of all the greeks with the strike price.

Sandeep

Sandy:

One question:

Why do you write Strike price K on your x-axis? The x-axis should be the spot price.

Muting

 

[Anshul]

Hello Everyone..
I have taken the initial values same as Muting/Sandy. Values can be changed in the worksheet itself to see the variation in the Greeks..

-
Anshul.

 

[sandeep]

Thanks for pointing out Muting..
I have corrected it now.

Sandeep

 

[Rachit]

Put Options too..

The files posted here have graphs only for the Call Options. We also need to make the corresponding graphs for the Put Options.

 

[Vadim]

Here are my greeks