Assume S = $62

question 5

Multiple Choice

Assume S = $62.50,σ = 0.20,r = 0.03,div = 0.0,on a $60 strike call and 81 days until expiration.Given a delta = 0.7092,gamma = 0.0582,and theta = -0.0158,what is the PREDICTED call price,using the delta,gamma,theta approach,after 1 day,assuming a $0.50 rise in the stock price?

• A) $4.364
• B) $4.376
• C) $4.390
• D) $4.392

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