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elf_fu elf_fu
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8 years ago
Assume S = $45, σ = 0.25, r = 0.05, div = 0.0, on a 45 strike call and 55 days until expiration. Given delta = 0.5502 and gamma = 0.0876, what is the delta-gamma approximation for the call price on a $0.90 stock price decline?
A) $1.35
B) $1.45
C) $1.55
D) $1.65
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Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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8 years ago
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elf_fu Author
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#2
7 years ago
Thank you Heavy Heart
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