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Question
Assume S = $45, σ = 0.25, r = 0.05, div = 0.0, on a 45 strike call and 55 days until expiration. Given delta = 0.5502 and gamma = 0.0876, what is the delta-gamma approximation for the call price on a $0.90 stock price decline?A) $1.35
B) $1.45
C) $1.55
D) $1.65
Answer
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Related questions
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