An option's premium is 1.50 and has a delta of 40 with an underlying future at 100.

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An option's premium is 1.50 and has a delta of 40 with an underlying future at 100. If the underlying future moved from 100 to 102, what would the option's new premium be based on delta?

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Global Investments

ISBN: 978-0321527707

6th edition

Authors: Bruno Solnik, Dennis McLeavey

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Posted Date: Apr 20, 2024 03:35 AM

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An option's premium is 1.50 and has a delta of 40 with an underlying future at 100.

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To calculate the new premium of the option based on the delta we need to consider the change in the ... View the full answer

Global Investments

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