A 6-Month Call Option on ABC Stock Is Priced at $2.80.The

question 72

Multiple Choice

A 6-month call option on ABC stock is priced at $2.80.The call option delta is 0.66.How will the approximate call option price be computed if the underlying stock price increases by $1?

• A) $2.80
• B) $2.80 - $0.66
• C) $2.80 + $0.66
• D) $2.80 × 0.66
• E) $2.80 × (1 + 0.66)

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