Question: Assume the Black-Scholes framework. You are given: The price of a stock is $16.00. The price of a call option on this stock is $1.20.

Assume the Black-Scholes framework. You are given: The price of a stock is $16.00. The price of a call option on this stock is $1.20. The elasticity of the call is 8.00. The gamma of the call is 0.28. Using the delta-gamma approximation, calculate the price of the call option if the stock price changes to $15.80.

A.1.02

B.1.09

C.1.19

D.1.23

E.1.31

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