Consider a 40-strike 180-day call with S = $40. Compute a delta-gamma-theta approximation for the value of
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See Table 3 TABLE 3 Problem 137 Future S 1 day 5 days Actual 25 days Approx Actual Approx 3600 00511 21880 00121 00181 00434 23020 00096 00149 00362 2...View the full answer
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