The price of ABC Co’s stock is currently $100.75 and the ann…
The price of ABC Co’s stock is currently $100.75 and the annualized volatility of its log-returns is 60%. The stock does not pay dividends. The risk-free rate is 4.25% per year, continuously compounded.If the price of ABC’s stock increases by $1, approximately how much will the BSOPM price of the six-month, 111.75-strike call change? Only use delta in the approximation.