Question
19. A stock is expecting an FDA action on its lead drug application. The week prior to the FDA announcement, the stock's historic volatility increased
19. A stock is expecting an FDA action on its lead drug application. The week prior to the FDA announcement, the stock's historic volatility increased from 33% to 45%. If the vega was .15 and the delta was .58, how much did the option premium increase as reflected in delta?
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International Financial Management
Authors: Jeff Madura
2nd Edition
0314430296, 978-0314430298
