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Level II
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Derivatives
Derivatives
Medium
An at-the-money European call option on Hartfield Corp stock has a delta of 0.52 and a gamma of 0.038. If the stock price increases by $3.00 from the current price of $60.00, the estimated new delta of the call is closest to:
A
0.634
B
0.520
C
0.558
D
0.406
Select an answer to continue
Tags
#option-greeks
#delta
#gamma
#delta-hedging
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