Brainteaser - Close to Expiry
Close to Expiry
Option Theory
You have purchased a call option on an underlying asset, denoted as \( S \), with its current price set at \( S_0 = \$5 \). The call option has an initial price of \( C_0 = \$0.3 \) and a strike price of \( K = \$25 \). The option is set to expire in an hour and has a charm value of \(-0.04\). Assuming the underlying asset's price decreases by \(\$0.5\) in the next minute, what would be an approximate price for the option?