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Suppose that you have a call option that is at 1.30. it has a Delta of .35 a Gamma of .06 a Theta of .02 assume Vega is constant. today the stock moves from $45 to $46. the next day (day 2) the stock moves another dollar to $47. What is the value of your call option at the end of day two? A. $2.02 B. $1.69 C. $1.73 D. $1.98

Suppose that you have a call option that is at 1.30. it has a Delta of .35 a Gamma of .06 a Theta of .02 assume Vega is constant. today the stock moves from $45 to $46. the next day (day 2) the stock moves another dollar to $47. What is the value of your call option at the end of day two? A. $2.02 B. $1.69 C. $1.73 D. $1.98

Essentials Of Investments
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
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Need asap... Suppose that you have a call option that is at 1.30. it has a Delta of .35 a Gamma of .06 a Theta of .02 assume Vega is constant. today the stock moves from $45 to $46. the next day (day 2) the stock moves another dollar to $47. What is the value of your call option at the end of day two? A. $2.02 B. $1.69 C. $1.73 D. $1.98
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