A 6-month call option on ABC stock is priced at $3.60.The call option delta is 0.76.How will the approximate call option price be computed if the underlying stock price increases by $1?
A)$3.60
B)$3.60 - $0.76
C)$3.60 + $0.76
D)$3.60 × .76
E)$3.60 × (1 + .76)

Question

Quizplus · Accepted Answer

The approximate call option price will increase by the product of the delta and the increase in the stock price. 
Therefore, the new call option price will be approximately:
$3.60 + (0.76 x $1) = $4.36
Thus, the correct choice is (C).

A 6-Month Call Option on ABC Stock Is Priced at $3.60.The