Multiple Choice
Assume that a $50 strike call has a 3.0% continuous dividend,σ = 0.27,r = 0.06 and 60 days from expiration.What is the gamma for a stock price movement from $48.00 to $49.00?
A) 0.046
B) 0.074
C) 0.089
D) 0.099
Correct Answer:
Verified
Correct Answer:
Verified
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