The value of an option in the money is 11.50 Euros. The parameters of the market are: -The price of the underlying stock: 81.4 Euros.
-The volatility ofthe underlying is : 34.65 %
The sensitivities are:
Delta = 58%
Gamma = 2
I would like to approximate the price of this option if the price of the underlying increase by 1/2 Euros (volatility not changed)