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The underlying asset is $50 with volatility 15%. An at-the-money call option has a price of $5. The call has a of 2.65, and a
The underlying asset is $50 with volatility 15%. An at-the-money call option has a price of $5. The call has a of 2.65, and a of 0.05. The risk-free rate is 5%. Compute the and of the at-money-put and use them to estimate the change in price of the put if the asset price immediately jumps to 50.25, assuming all other factors remain constant.
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