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Consider the following information for a call option written on ABC's stock. S = $96 Delta = 0.2063 Price = $0.5 X = $100 Gamma = 0.

Consider the following information for a call option written on ABC's stock.

S = $96                       Delta = 0.2063                      Price = $0.5

X = $100                    Gamma = 0.0635

T - t = 5 days             Theta = -48.7155

σ = 0.4                        Vega = 3.2045

r = 0.1                        Rho = 0.2643

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

Top Answer

Increase in call option price due to delta = Delta * Change in price of stock = 0.2063 * 1 = 0.2063 However, as option... View the full answer

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