A Stock Is Trading at $20

question 25

Multiple Choice

A stock is trading at $20.A one-month call with a strike of 19 is valued at $1.439 and has a rho of 1.09.An increase in interest rates of 10 basis points changes the call value to,approximately,

• A)1.440
• B)1.450
• C)1.548
• D)2.529