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Assume that S = $ 4 0 , sigma = 3 0 % , r = 8 % , and delta = 0
Assume that S $sigma r and delta nondividend paying stock Consider a call option with strike K$ The Delta and Gamma of the option are given by respectively, and Assume the stock price declines to $ What would be the call value predicted by the DeltaGamma approximation? please report your answer with decimal
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