ABC stock has price $71.40 at noon, and currently pays no dividend. Consider a six-month European-style call on ABC stock. The call has price = 4.55, delta = 0.45, theta = -6.00/year, gamma = .026. Suppose that the stock price is still $71.40 in 1.0 months. What should be the (new) price of the call option?
ABC stock has price $71.40 at noon, and currently pays no dividend. Consider a six-month European-style call on ABC stock. The call has price = 4.55, delta = 0.45, theta = -6.00/year, gamma = .026. Suppose that the stock price is still $71.40 in 1.0 months. What should be the (new) price of the call option?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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![Question 8
ABC stock has price $71.40 at noon, and currently pays no dividend. Consider a six-month European-style call on ABC stock.
The call has price = 4.55, delta = 0.45, theta = -6.00/year, gamma = .026.
Suppose that the stock price is still $71.40 in 1.0 months.
What should be the (new) price of the call option?](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F745479c5-6232-4890-8e83-2f65a0c6d8ea%2F4a8b3afc-74f9-4401-89d8-eb2f5ceb4fdb%2F08e3z2k_processed.png&w=3840&q=75)
Transcribed Image Text:Question 8
ABC stock has price $71.40 at noon, and currently pays no dividend. Consider a six-month European-style call on ABC stock.
The call has price = 4.55, delta = 0.45, theta = -6.00/year, gamma = .026.
Suppose that the stock price is still $71.40 in 1.0 months.
What should be the (new) price of the call option?
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