ABC stock has price $71.40 at noon, and currently pays no dividend. Consider a six-month European-style call on ABC stock. The call has price = 4.55, delta = 0.45, theta = -6.00/year, gamma = .026. Suppose that the stock price is still $71.40 in 1.0 months. What should be the (new) price of the call option?
ABC stock has price $71.40 at noon, and currently pays no dividend. Consider a six-month European-style call on ABC stock. The call has price = 4.55, delta = 0.45, theta = -6.00/year, gamma = .026. Suppose that the stock price is still $71.40 in 1.0 months. What should be the (new) price of the call option?
Fundamentals of Financial Management (MindTap Course List)
14th Edition
ISBN:9781285867977
Author:Eugene F. Brigham, Joel F. Houston
Publisher:Eugene F. Brigham, Joel F. Houston
Chapter18: Derivatives And Risk Management
Section18.A: Valuation Of Put Options
Problem 2P
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