Question: Assume S = $56.00, deviaton = 0.45, r = 0.05, div = 0.0, on a $55 strike call and 45 days until expiration. Given delta

Assume S = $56.00, deviaton = 0.45, r = 0.05, div = 0.0, on a $55 strike call and 45 days until expiration. Given delta = 0.6253, gamma = 0.0735, and theta = -0.0253, what is the approximate change in call price over 1 day, all else being the same?

Select one:

a. $0.03

b. $0.02

c. $0.00

d. $0.01

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