What is the price of a 100 call ifr1maturity6 monthsiv, Ask an Expert

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What is the price of a 100 call if:

r=1%

maturity=6 months

IV (implied volatility) = 40%

Stock price = 95.

Over the next 1 week, the stock dropped by $2.00. IV increased by 4% to 44%.

What is the delta? Based on the delta, how much should the option price change based on the stock price change?

What is the theta? Based on the theta, how much should the option price change based on time elapsing?

What is the vega? Based on the vega, how much should the option price change based on the IV change?

What is your estimate of the option price based on your answers to the questions above?

Calculate the price of the option using the BS calculator incorporating all of these changes. How close were you in your estimate?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92410289

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