A Stock Is Currently Trading at $50 $- 0.4355$ And the Gamma of the Put Is 0

question 9

Multiple Choice

A stock is currently trading at $50.A three-month at-the-money European put option on the stock costs 2.178.The delta of the put is $- 0.4355$ and the gamma of the put is 0.063.Given these values,if the stock price decreases by $5.00,then the best estimate for the new value of the put is

• A) \(4.35\)
• )
• B) \(5.14\)
• )
• C) \(0.79\)
• )
• D) \(3.57\)
• )
• E)Zero.

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