Question
Assume that a $50 strike call has a 3.0% continuous dividend, = 0.27, r = 0.06 and 60 days from expiration. What is the gamma
Assume that a $50 strike call has a 3.0% continuous dividend, = 0.27, r = 0.06 and 60 days from expiration. What is the gamma for a stock price movement from $48.00 to $49.00? A) 0.046 B) 0.074
C) 0.089
D) 0.099
Please show work.
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Financial Accounting An Integrated Statements Approach
Authors: Jonathan E. Duchac, James M. Reeve, Carl S. Warren
2nd Edition
324312113, 978-0324312119
