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You are given the following information for two European options on a stock priced using...

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You are given the following information for two European options on a stock priced using Black-Scholes formula: Price A 45-strike put 50-strike call 0.0211 10.227 -0.0082 0.93 0.003 0.016 Current stock price is 60. You constructed a portfolio with a long 45-strike put and a long 50-strike call. (a) Calculate the elasticity of your portfolio. Interpret your answer. (b) Using delta-gamma approximation to estimate the change in the value of the 50-strike call if the stock price increases by 2

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