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elf_fu elf_fu
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8 years ago
Assume S = $33.00, σ = 0.32, r = 0.06, div = 0.01, on a $35 strike call. Given delta = 0.3854 and gamma = 0.0847, what is the delta-gamma approximation for the call price on a $0.50 stock price increase? Assume 68 days until expiration.
A) $1.34
B) $1.36
C) $1.38
D) $1.40
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Derivatives Markets

Derivatives Markets


Edition: 3rd
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phuongha2892phuongha2892
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8 years ago
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