Question: Using the information in the table below, derive your best estimate of the price of the put option, if at the same time the index

Using the information in the table below, derive your best estimate of the price of the put option, if at the same time the index level increases to 255 from 250, and the volatility increases to 14% from 10%. Assume that the changes happen instantaneously after the computation of the price and sensitivities given in the table below (no time decay). Underlying Type: Index Index Level: 250.00 Volatility (% per year): | Risk-Free Rate (% per year): | Dividend Yield (% per yer): | 10 00% 2 00% 1 00%) Option Type Imply Volatility Black-Scholes European Life (Years):050001 Strike Price: Put 250.00 O Call Calculate Results: Price: 63953881 Delta (per S) -04554818 Gamma (per $ per S) 00223291 Vega (per 96). | 0 6977835 Theta (per day): 00156472 Rho (per %): 1-0 601 3292

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