Ultimate access to all questions.
Upgrade Now 🚀
Sign in to unlock AI tutor
An option has an original price of 1.00,adeltaof0.40andagammaof0.03.Ignoringtheeffectofvolatility,iftheunderlying′spricechangesby1.00, a delta of 0.40 and a gamma of 0.03. Ignoring the effect of volatility, if the underlying's price changes by 1.00,adeltaof0.40andagammaof0.03.Ignoringtheeffectofvolatility,iftheunderlying′spricechangesby0.70, the estimated new price of the option would be closest to:
A
$1.287
B
$1.291
C
$1.295
