Question
Derivatives Management Question Consider the following information for a call option written on Microsoft's stock: S 0 = $96, K = $100, T-t = 5
Derivatives Management Question
Consider the following information for a call option written on Microsoft's stock:
S0 = $96, K = $100, T-t = 5 days, = 0.4, r = 0.1, Price = $0.50
Delta = 0.2063, Gamma = 0.0635, Theta = -48.7155, Vega = 3.2045, Rho = 0.2643
If in two days Microsoft's 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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International Financial Management
Authors: Geert Bekaert, Robert J. Hodrick
2nd edition
013299755X, 132162768, 9780132997553, 978-0132162760
