The Current Stock Price Is $50, and a Put Is $0.4$

question 18

Multiple Choice

The current stock price is $50, and a put is priced at $3.59201. If the stock rises to $50.10, the price of the put will be $3.549152 and if the stock drops to $49.90, the price of the put will be $3.635261. What is the approximate gamma of the put?

• A) \(0.4\)
• B) \(0.04\)
• C) \(0.004\)
• D) Cannot be calculated from the given data.

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