Question
suppose that you have a call option that is at 1.30. it has a Delta of .35 a Gamma of .06 a Theta of .02
suppose that you have a call option that is at 1.30. it has a Delta of .35 a Gamma of .06 a Theta of .02 assuming Vega is constant. today the stock moves from $45 to $46. the next day (day 2) the stock moves another dollar to $47. What is the value of your call option at the end of day two
A. $2.02
B. $1.69
C. $1.73
D. $1.98
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Introductory Statistics
Authors: Neil A. Weiss
10th Edition
321989171, 978-0321989178
