A 6-Month Call Option on ABC Stock Is Priced at $3.60

question 62

Multiple Choice

A 6-month call option on ABC stock is priced at $3.60. The call option delta is 0.76. How will the approximate call option price be computed if the underlying stock price increases by $1?

• A) $3.60
• B) $3.60 - $0.76
• C) $3.60 + $0.76
• D) $3.60 * .76
• E) $3.60 * (1 + .76)

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