39.

Use the spreadsheet output below to answer the following questions. You must use the values in this table to calculate your answers.

Black Scholes Merton option price calculation
stock price	20.00
strike price	20.00
interest rate	0.040
volatility	0.300
time to maturity (years)	0.500
d1	0.200
N(d1)	0.579
d2	-0.012
N(d2)	0.495
BSM call option	1.8781
N(-d1)	0.4206
N(-d2)	0.5047
BSM put option	1.4821
delta(Call)	0.5794
delta(Put)	-0.4206
gamma	0.0922

1. When the share price increases by $0.10 the put option price will -------(increase/decrease). Using the delta, the new put option price after the share price has increased by $0.10 is estimated to be $---------. Write your answer to two decimal places or your answer will be incorrect.

2. Assume the share price is $20 as in the table. When the share price increases to $20.10 the delta of the put option changes. The new delta for the put is estimated using the -------(delta/gamma). Using this approach, the new delta for the put is ---------. You must give your answer correct to three decimal places or your answer will be incorrect.