Assume the Black-Scholes framework for a non-dividend paying stock. Consider a 2-year 75-strike call option on the stock

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Assume The Black Scholes Framework For A Non Dividend Paying Stock Consider A 2 Year 75 Strike Call Option On The Stock 1 (37.35 KiB) Viewed 55 times

Assume the Black-Scholes framework for a non-dividend paying stock. Consider a 2-year 75-strike call option on the stock. You are given: The current stock price is 70. The current price of the call option is 3.50 The delta of the call option is 0.712 The gamma of the call option is 0.031 The continuously compounded risk-free interest rate is 1%. Using the delta-gamma approximation, estimate the price of a 2-year 75-strike put option if the stock price changes to 72 two days later. O A. Less than 5 OB. At least 5 but less than 6 O C. At least 6 but less than 7 O D. At least 7 but less than 8 O E. At least 8