Assume That a $50 Strike Call Has a 3

question 10

Multiple Choice

Assume that a $50 strike call has a 3.0% continuous dividend,σ = 0.27,r = 0.06 and 60 days from expiration.What is the gamma for a stock price movement from $48.00 to $49.00?

• A) 0.046
• B) 0.074
• C) 0.089
• D) 0.099

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Definitions:

Degrees of Freedom

The number of independent pieces of information used in the calculation of a statistic, typically the size of the data set minus the number of parameters estimated.

Area

The measurement of the extent of a two-dimensional surface or shape, typically expressed in square units.

Chi-squared Distribution

A statistical distribution used to test hypotheses about the distribution of observed frequencies in categories compared to expected frequencies.

Area

The measure of the extent of a two-dimensional figure or shape in a plane.