A stock is priced at $48 per share. The volatility is 36% per year and the interest rate is 7% per year. Consider the following information on one-year options with a strike price of $45. Price Delta Gamma Theta Vega Rho Call Put 9.88 3.84 0.71 -0.29 0.0198 0.0198 -0.0130 -0.0047 0.1643 0.1643 0.2420 -0.1775 The theta is measured on a per day basis. The Greeks that measure the change in option price per change in interest rate or volatility are expressed in values per 1 percentage point change. d) Suppose the stock price increase by 1%, what is the percentage change in the call option price? Explain your answer. (4 marks)