Assume S = $56

Assume S = $56.00,σ = 0.45,r = 0.05,div = 0.0,on a $55 strike call and 45 days until expiration.Given delta = 0.6253,gamma = 0.0735,and theta = -0.0253,what is the approximate change in call price over 1 day,all else being the same?

A) $0.00
B) $0.01
C) $0.02
D) $0.03

Correct Answer:

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Sign up to view answer