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

question 13

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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