Consider a 40-strike 180-day call with S = $40. Compute a delta-gamma-theta approximation for the value of

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Consider a 40-strike 180-day call with S = $40. Compute a delta-gamma-theta approximation for the value of the call after 1, 5, and 25 days. For each day, consider stock prices of $36 to $44.00 in $0.25 increments and compare the actual option premium at each stock price with the predicted premium. Where are the two the same? Discuss.
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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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