Multiple Choice
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
Correct Answer:
Verified
Correct Answer:
Verified
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