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A European call option where S = 16, K = 15, T = 0.25, r = 1% and Volatility = 25% has a current B-S
A European call option where S = 16, K = 15, T = 0.25, r = 1% and Volatility = 25% has a current B-S value of $ 1.39 per share. This call also sells in the market at the value of $139. The vega is 2.66 and the theta is 1.435. Given that
What may be the total premium if Volatility goes up to 28% under ceteris paribus assumptions? (10 pts)
What may be the total premium after 4 days under ceteris paribus assumptions? (10 pts)?
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