Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. finance
  3. use black-scholes formula to calculate: assume s =

Use Black-scholes formula to calculate: Assume S = $62.50, = 0.20, r = 0.03,...

80.2K

Verified Solution

Question

Finance

Use Black-scholes formula to calculate:

Assume S = $62.50, = 0.20, r = 0.03, div = 0.0, on a $60 strike call and 81 days until expiration. Given a delta = 0.7092, gamma = 0.0582, and theta = -0.0158, what is the approximate call price, using the delta, gamma, theta approach, after 1 day, assuming a $0.50 rise in the stock price? Show details.

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students

Q

(From 4.2) In a mass-spring system, motion is assumed to occur only in the vertical direction....

Advance Math
Q

What is reasoning by analogy? How are analogies evaluated? Please provide an example.

Psychology
Q

It is required to design a synchronous sequential circuit that receives two input bit streams X...

Electrical Engineering
Q

A CCGT uses natural gas of net calorific value 50.05 MJ/kg as the fuel is utilised...

Mechanical Engineering
Q

The angular speed of a circular hoop is constant and is given by The hoop...

Physics
Q

Determine which of the four levels of measurement nominal ordinal interval ratio is most appropriate...

Statistics
Q

Given the function f x cos 5 compute the right endpoint Riemann sum using n...

Calculus
Q

3 b a b C d 32 sin 77 sin 32 32 sin 71 sin...

Calculus
Q

All information is included in the scanned pages of the assignment. ...

Accounting
Q

8. If an investor is attempting to buy a stock that is very volatile, it...

Accounting
Q

True/False - Respond either True or False to the following statements. (1 point each) 1....

Accounting
Q

Which of the following questions are addressed by financial managers? How should a product be...

Finance