Top Posters
Since Sunday
7
n
3
j
3
o
2
x
2
c
2
2
p
2
n
2
3
2
C
2
z
2
Home Q & A Board Other Fields Homework Help Business Insurance
New Topic  
elf_fu elf_fu
wrote...
Go to Answer
Posts: 705
Rep: 2 0
6 years ago
Assume S = $62.50, σ = 0.20, r = 0.03, div = 0.0, on a $60 strike call and 81 days until expiration. Given a delta = 0.7092, gamma = 0.0582, and theta = -0.0158, what is the PREDICTED call price, using the delta, gamma, theta approach, after 1 day, assuming a $0.50 rise in the stock price?
A) $4.364
B) $4.376
C) $4.390
D) $4.392
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
Read 96 times
2 Replies
Replies
Answer verified by a subject expert
phuongha2892phuongha2892
wrote...
#1
Posts: 471
Rep: 49 0
6 years ago
Sign in or Sign up in seconds to unlock everything for free
More solutions for this book are available here
1

Related Topics

elf_fu Author
wrote...
#2
6 years ago
Heavy Heart Correct
New Topic      
Quick Reply
Explore
Post your homework questions and get free online help from our incredible volunteers
  946 People Browsing
Start New Topic Take the Tour CoursesNew Study Tools Topics Trending Browse by Textbook
Related Images
  
 982
  
 74
  
 2483
Your Opinion
Which is the best fuel for late night cramming?
Votes: 145
Previous poll results: Who will win the 2024 president election?