First calculate the delta of the following option. Then use this delta to ESTIMATE the new...

First calculate the delta of the following option. Then use this delta to ESTIMATE the new price of a European call option if the stock price increases by $4. The option has the following the following initial parameters:

s0 = $40
k = $35
r = 10%
sigma = 20%
T = 0.75 years

Expert Solution

Original call price=7.8755

Delta=0.9016

New call price=7.8755+0.9016*4=11.4819

jeff jeffy answered 1 year ago

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