Question
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
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?
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Financial Markets Theory Equilibrium Efficiency And Information
Authors: Emilio Barucci, Claudio Fontana
2nd Edition
9781447174042
