A stock has a current price of $115.83. A European call option on the stock expires in

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A stock has a current price of $115.83. A European call option on the stock expires in eight weeks and has N(d,) = 0.33. If volatility changes by 0.03, approximate the amount the call price is expected to change?

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Introduction To Derivatives And Risk Management

ISBN: 9781305104969

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Authors: Don M. Chance, Robert Brooks

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Question Posted: Apr 07, 2016 08:33 AM

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A stock has a current price of $115.83. A European call option on the stock expires in

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The sensitivity of the call price to a very small change in volatility ...View the full answer

Introduction To Derivatives And Risk Management

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