suppose that you have a call option that is at 1.30. it has a Delta of .35 a Gamma of .06 a Theta of .02 assuming Vega is constant. today the stock moves from $45 to $46. the next day (day 2) the stock moves another dollar to $47. What is the value of your call option at the end of day two

A. $2.02 

B. $1.69 

C. $1.73 

D. $1.98

Answer rating: 100% (QA)

C 173 Stepbystep explanation 130 35 1 06 1 1 02 1 173 173 The first term is the ori... View the full answer