Question: This problem involves the sensitivity to changes in Sof the European call option CE(S, t) measured mathematically as ace(S,t) Ac as Consider a European call

This problem involves the sensitivity to changes in Sof the European

This problem involves the sensitivity to changes in Sof the European call option CE(S, t) measured mathematically as ace(S,t) Ac as Consider a European call option on a stock with a strike price equal to the current stock price (t=0) and 4 years until expiration. Assume the risk-free interest rate is zero. Find an expression for Ac as a function of the volatility o only. What is Ac when o = 0.20? Please round your numerical answer to 4 decimal places

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