Question: Derivatives Management Question Consider the following information for a call option written on Microsoft's stock: S 0 = $96, K = $100, T-t = 5

Derivatives Management Question

Consider the following information for a call option written on Microsoft's stock:

S0 = $96, K = $100, T-t = 5 days, = 0.4, r = 0.1, Price = $0.50

Delta = 0.2063, Gamma = 0.0635, Theta = -48.7155, Vega = 3.2045, Rho = 0.2643

If in two days Microsoft's price has increased by $1 to $97, explain what you would expect to happen to the price of the call option.

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