What is Speed in option value
What is Speed in option value?
Expert
Speed: It is an option rate of change of the gamma respecting the stock price.
Speed = ∂3V/∂S3.
Consider 8.5 % Swiss franc/U.S. dollar dual currency bonds which pay $666.67 at maturity per SF1,000 of par value. Describe implicit SF/$ exchange rate at maturity? Will the investor be better or worse off at maturity if the real SF/$ exchange rate
Illustrates the Epstein–Wilmott model?
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