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A stock is currently trading for $1200 per share. A certain call option on the stock has a price of $35, a delta of 0.72,
A stock is currently trading for $1200 per share. A certain call option on the stock has a price of $35, a delta of
0.72, and a certain value of gamma. When the stock price suddenly falls to $1178, the call price falls to $23. Using the
delta-gamma approximation, what is the gamma of this call option?
0.72, and a certain value of gamma. When the stock price suddenly falls to $1178, the call price falls to $23. Using the
delta-gamma approximation, what is the gamma of this call option?
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Delta Change We are given the delta before the price change 072 and can assume the delta after the p...
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
