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Assume S = $45,σ = 0

Question 19

Multiple Choice

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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