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An option has a delta of 0.7 and a gamma of 0.3 and when the underlying has a price of $500 the option has a
An option has a delta of 0.7 and a gamma of 0.3 and when the underlying has a price of $500 the option has a price of $20. What is the delta-gamma approximation to the new option price when the underlying price changes to $502? Group of answer choices
$21.2
$22.6
$22
None of the answers are correct
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