If a stock price increases from 63 to 6380 and the price of, Ask an Expert

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If a stock price increases from $63 to $63.80 and the price of a call option with a delta of 0.50 (gamma of 0.04) is $2.30 (at $63), then what is the approximate price of the call option after the stock price increase using a delta-gamma approximation?

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Financial Management, Finance

Category:- Financial Management
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