Problem

33. A stock is currently trading at $22.50. The delta of an at-the-money call on the stock...

33. A stock is currently trading at $22.50. The delta of an at-the-money call on the stock is +0.56 and the gamma is +0.035. If the stock price were to change to $22.25, by how much would the call price change (using the delta alone)? What is the approximate new value of the call delta?

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Solutions For Problems in Chapter 17