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Assume the Black-Scholes framework for option pricing holds. You are considering buying a stock option. You are given the following information at time t=0: 1. The stock price S(t=0) is $100. 2. The option price is $5.80. 3. The option delta is -0.422. 4. The option theta measured in dollars per year is - $48.253 per year. You decide to buy the option at time t=0 using the www.interactivebrokers.com electronic trading application. Two days pass and you find that the option price increases to $6.90 while the implied volatility remains constant and the stock price declines to S(t=2) which is less than S(t=0). Using the Delta-Gamma-Theta approximation, compute an estimate for the new stock price S(t=2). Correct! $96.98 Assume the Black-Scholes framework for option pricing holds. You are considering buying a stock option. You are given the following information at time t=0: 1. The stock price S(t=0) is $100. 2. The option price is $5.80. 3. The option delta is -0.422. 4. The option theta measured in dollars per year is - $48.253 per year. You decide to buy the option at time t=0 using the www.interactivebrokers.com electronic trading application. Two days pass and you find that the option price increases to $6.90 while the implied volatility remains constant and the stock price declines to S(t=2) which is less than S(t=0). Using the Delta-Gamma-Theta approximation, compute an estimate for the new stock price S(t=2). Correct! $96.98

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