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Use Black-scholes formula to calculate: Assume S = $62.50, σ = 0.20, r = 0.03, div...

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Finance

Use Black-scholes formula to calculate:

Assume S = $62.50, σ = 0.20, r = 0.03, div = 0.0, on a$60 strike call and 81 days until expiration. Given a delta =0.7092, gamma = 0.0582, and theta = -0.0158, what is theapproximate call price, using the delta, gamma, theta approach,after 1 day, assuming a $0.50 rise in the stock price? Showdetails.

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