A stock is currently trading for $1200 per share. A certain call option on the stock has a price of $35, a delta of
0.72, and a certain value of gamma. When the stock price suddenly falls to $1178, the call price falls to $23. Using the
delta-gamma approximation, what is the gamma of this call option?

Answer rating: 100% (QA)

Delta Change We are given the delta before the price change 072 and can assume the delta after the p... View the full answer