Question
Assume s= $56.00,= .45, r= .05, div= 0.0, on a $55 strike call and 45 days until expiration. Given delta= .6253,gamma= .0735, and theta=-0.0253, what
Assume s= $56.00,= .45, r= .05, div= 0.0, on a $55 strike call and 45 days until expiration. Given delta= .6253,gamma= .0735, and theta=-0.0253, what is the approximate change in call price over 1 day, all else being the same?
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The Economics Of Money Banking And Financial Markets
Authors: Frederic Mishkin
13th Global Edition
1292409487, 978-1292409481
