A call and a put option written on the same stock have the same strike price and time to maturity. At 10:30am on a certain day, the price of the call option is $7.7 and the price of the put option is $1.5. At 10:31am new information reaches the market that has no effect on the stock price or interest rates, but increases the stock volatility. As a result, the price of the call option changes to $11.55. What would you expect the price of the put option to change to?

a.

3.43

b.

3.28

c.

8.45

d.

There is not enough information to answer this question

e.

5.35