Question
An option has a delta of -0.5 and a gamma of 0.04 and when the underlying has a price of $10 the option has a
An option has a delta of -0.5 and a gamma of 0.04 and when the underlying has a price of $10 the option has a price of $4.5. What is the delta-gamma approximation to the new option price when the underlying price changes to $9?
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Money, Banking And Financial Markets
Authors: Stephen G. Cecchetti, Kermit L. Schoenholtz
3rd Global Edition
1259071197, 9781259071195
