根據簡化的公式: c = dp + 1/2 * g * p * p
where: d = delta, p = stock price change, g = gamma, c = call price change
c = 0.503 * 10 + 1/2 * 0.0225 * 10 * 10 = 6.155
所以預計的call 價格為: 4.5 + 6.155 = 10.655
這裏假設iv不變,沒有theta decay。當然現實中不會這樣。
根據簡化的公式: c = dp + 1/2 * g * p * p
where: d = delta, p = stock price change, g = gamma, c = call price change
c = 0.503 * 10 + 1/2 * 0.0225 * 10 * 10 = 6.155
所以預計的call 價格為: 4.5 + 6.155 = 10.655
這裏假設iv不變,沒有theta decay。當然現實中不會這樣。