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Estimate of the change in the call option price

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Reference no: EM132413537

Assume you have sold a call option and the delta of your position is -.38. If the price of the underling asset increases by $2.50, then what is the best estimate of the change in the call option's price? Would you expect the absolute value of the delta of your position to be larger or smaller if the price of the underlying asset increased by $2.50? Why?

Reference no: EM132413537

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