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Question
Assume S = $56.00, σ = 0.45, r = 0.05, div = 0.0, on a $55 strike call and 45 days until expiration. Given delta = 0.6253, gamma = 0.0735, and theta = -0.0253, what is the approximate change in call price over 1 day, all else being the same?A) $0.00
B) $0.01
C) $0.02
D) $0.03
Answer
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Related questions
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