made up a practice question

[BlackSwans]

I was messing around with trying to come up with some problems while studying my flashcards. Here's one if anyone wants to try it.

Suppose S(t) represents the time t price of a dividend paying stock.

Let C be an at the money call option expiring at time T.
Let P be an at the money put option expiring at time T.
-Both are European options

suppose that z=r z is the cont div yield( dont have a delta button) and r is the contiously compounded risk free rate

Define Q(C) and Q(P) to be the call and put option elasticities at time 0 respectively.

In terms of N(d1), what does Q(C) - Q(P) equal?

[oswaldcobblepot]

I'm not sure I even interpreted this question correctly, but I'm getting:

1/(2N(d1)-1)

[xiaofan4]

Originally Posted by oswaldcobblepot

I'm not sure I even interpreted this question correctly, but I'm getting:

1/(2N(d1)-1)

Agree

[BlackSwans]

yea I got the same...was just messing around with some things

[lMax]

I would appreciate if one of you have the time to post a solution. I do not figure this out.