The price of ABC Co’s stock is currently $57.75 and the annu…
The price of ABC Co’s stock is currently $57.75 and the annualized volatility of its log-returns is 46%. The stock does not pay dividends. The risk-free rate is 4.00% per year, continuously compounded.If the price of ABC’s stock increases by $1, approximately how much will the BSOPM price of the three-month, 64.25-strike call change? Only use delta in the approximation.