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Valuation of Spread and Basket Options
Figure 4 Greeks of Basket Options
Note: The basket is defined by GB7 = S 1 +S 2 , and the other parameters are defined as follows: S 1 (0)
= 150, S 2 (0) = 50, σ 1 = σ 2 = 0.4, K = 200, r = 0.05, and T = 1.
Figure 5 Greeks of Spread Options
Note: The spread is defined by GB8 = S 1 ─S 2 , and the other parameters are defined as follows: S 1 (0)
= 150, S 2 (0) = 50, σ 1 = σ 2 = 0.4, K = 200, r = 0.05, and T = 1.
Figure 6 Greeks of an Option Portfolio
Note: The option portfolio is composed of a long position in a basket option by GB7 and a short
position in a spread option on GB8 with parameters defined in Figures 4 and 5.
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