A stock is currently trading at $22.50. The delta of an at-the-money call on the stock is
Question:
A stock is currently trading at $22.50. The delta of an at-the-money call on the stock is +0.56 and the gamma is +0.035. If the stock price were to change to $22.25, by how much would the call price change (using the delta alone)? What is the approximate new value of the call delta?
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Answer rating: 0% (2 reviews)
Using the delta alone the call price wo...View the full answer
Answered By
Kainat Shabbir
i am an experienced qualified expert with a long record of success helping clients overcome specific difficulties in information technology, business and arts greatly increasing their confidence in these topics. i am providing professional services in following concerns research papers, term papers, dissertation writing, book reports, biography writing, proofreading, editing, article critique, book review, coursework, c++, java, bootstarp, database.
5.00+
184+ Reviews
255+ Question Solved
Related Book For
Question Posted:
Students also viewed these Engineering questions
-
KYC's stock price can go up by 15 percent every year, or down by 10 percent. Both outcomes are equally likely. The risk free rate is 5 percent, and the current stock price of KYC is 100. (a) Price a...
-
Last Sale Net Bid Ask Open Int Puts Last Sale Net bid Ask Vol Open Int 16Aug 155.00(1619H155-E) 6.45 0.75 6.95 7.25 9 16Aug 155.00(1619T155-E) 1.18 (0.75) 1.17 1.25 61 4505 16Aug 166.00(1619H160-E)...
-
2. CMR, BEP in pesos, operating profit, MSR and DOL if: a. unit sales price increases by 10% b. unit variable cost decrease by 5% c. fixed cost increase by P500,000 d. quantity sold increase by...
-
Let U = {1, 2, 3, 4,p, 10} A = {1, 3, 5, 7} B = {3, 7, 9, 10} C = {1, 7, 10} Determine the following. A - B
-
An Add curved arrows to the following reactions to indicate the flow of electrons ineach: (a) H-CI D-CI = H. H. (b) -I CH CH CH
-
A profitable wood products corporation is considering buying a parcel of land for $50,000, building a small factory building at a cost of $200,000, and equipping it with $150,000 of MACRS 5-year...
-
Details of Troy Horse Ltds income statement for the past year are as follows. Required Consider each of the following independent situations. (a) Determine the companys break-even point in units and...
-
You have recently been hired by Goff Computer, Inc. (GCI), in the finance area. GCI was founded eight years ago by Chris Goff and currently operates 74 stores in the Southeast. GCI is privately owned...
-
Let a and b be two constants. Two lines L1 and L2 are given as follows: L = at, y=1-t,z=t+1,tR L2x=s,y=bs, z=s, sR (1) Suppose L1 and L2 are parallel. Find the values of a and b. (2) For the values...
-
What is the sign of the delta of a call option on a put option? Why? What about a put on a call?
-
You hold a portfolio that is short 800 calls, each with a rho of +21.50, and long 800 puts, each with a rho of 16.70. By how much does your portfolio value change if interest rates move down by 20...
-
Estimate the area in each figure shown in Problems 39-46. 5 4 DWA 3 2 1 -0.5, -2 1.0 2.0 3.0x
-
In 2017 -18, a taxpayer makes a number of disposals, as listed below. Which of these disposals would be exempt from CGT? (a) An antique table sold for 5,000. (b) A watercolour painting sold at...
-
In September 2008 , Pamela bought a building for business use at a cos t of 150,000. I n September 2017 she sold the building for 261,400 and immediately bought another building, again for business...
-
Melanie bought a house on 1 June 1986 for 3 1,000. The house was sold on 31 December 2017 for 173,000. Compute the chargeable gain arising in each of the following cases: (a) Melanie occupied the...
-
Katherine acquired a 40-year lease on a property on 31 August 1999 for 75,000. On 31 August 2017 she assigned the lease to Francesco for 97,500. The property was never Katherine's residence. Compute...
-
In June 201 6, Walter bought 10 ,000 shares in Ovod plc at a cost of 7 per share. In September 2017 , Rundico plc made a takeover bid for Ovod plc, offering the Ovod shareholders eight Rundico shares...
-
Morrow Company is a large manufacturer of auto parts for automakers and parts distributors. Although Morrow has plants throughout the world, most are in North America. Morrow is known for the quality...
-
What are the principal differences among asset liquidity management, liability management, and balanced liquidity management?
-
Annual maintenance costs for a particular section of highway pavement are $2000. The placement of a new surface would reduce the almual maintenance cost to $500 per year for the first 5 years and to...
-
An investor is considering buying a 20-year corporate bond. The bond has a face value of $1000 and pays 6% interest per year in two semiannual payments. Thus the purchaser of the bond will receive...
-
A road building contractor has received a major highway construction contract that will require 50,000 m3 of crushed stone each year for 5 years. The needed stone can be obtained from a quarry for...
-
Using appropriate graphs, consider the implications, for both a perfectly competitive market and a monopoly, if the marginal cost of production falls. Given your conclusions, would it always be true...
-
2 [The following information applies to the questions displayed below.] Income statements for the current year and one year ago, follow. Assume that all sales are on credit. Part 1 of 3 For Year...
-
How are emerging paradigms such as the sharing economy and circular economy models influencing market trends within advanced sectors, and what are the implications for traditional business models ?
Study smarter with the SolutionInn App