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a) The current value of a call is 0.65 per share. The theta value is 0.05. How many days must pass for the value of
a) The current value of a call is 0.65 per share. The theta value is 0.05. How many days must pass for the value of that call to decline to 0.50 under ceteris paribus assumptions?
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Analytical Finance Volume I
Authors: Jan R. M. Röman
1st Edition
3319340263, 978-3319340265
