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(E) Consider the following information for a call option written on ALN's stock. S-$ 94 DELTA -0.1963 K-S 100 GAMMA-0.0545 T-E-5 days o=0.4 THETA= -49.7155

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(E) Consider the following information for a call option written on ALN's stock. S-$ 94 DELTA -0.1963 K-S 100 GAMMA-0.0545 T-E-5 days o=0.4 THETA= -49.7155 VEGA=3.2245 RHO=0.2643 -0.1 Price of the option -0.70 If in two days ALN's stock price has increased by $1 to $ 95, what should be the expected value of the call option? (04 Marks)

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