8002 practice question 2 of 25
An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European call option has a strike of 85…
Choose your answer, then check it against the explanation.
An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A
European call option has a strike of 85 and a maturity of 40 days. Its Black-Scholes price is 15.52. The
options sensitivities are: delta = 0.98; gamma = 0.006 and vega = 1.55. What is the delta-gamma-
vega approximation to the new option price when the underlying asset price changes to 105 and the
volatility changes to 28%?
Question 2 of 25
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