Question
Consider the following information for a call option written on ABC's stock. S = $96Delta = 0.2063Price = $0.5 X = $100Gamma = 0.0635 T
Consider the following information for a call option written on ABC's stock.
S = $96Delta = 0.2063Price = $0.5
X = $100Gamma = 0.0635
T - t = 5 daysTheta = -48.7155
= 0.4Vega = 3.2045
r = 0.1Rho = 0.2643
If in two days ABC's stock price has increased by $1 to $97, explain what you would expect to happen to the price of the call option.
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Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert J. Hughes, Arshad Ahmad, Jordan Fortino
6th Canadian edition
1259453146, 978-1259453144
