option 考题

来源: 于 2012-12-18 17:39:56 [博客] [旧帖] [给我悄悄话] 本文已被阅读：次

if a stock move up $2.00 in 10 days and implied volatility rises 1% , approximately how much the premium increase or decrease for a call option based on the following option Greek values:

Delta .52
Gamma .05
Theta .08
Vega 0.06