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What formula is this to calculate duration of a call option as i don't remember seeing this in the syllabus?
Also, which study session and LOS?
The duration of the 90-day call option equals:
= (delta of call option) × (duration of underlying) × (price of underlying) / (price of call option)
= 0.4 × 16.93 × 1,037,560 / 27,568 = 254.87 or approximately 255@RaviVooda @alta12