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An option has a delta of 0.7 and a gamma of 0.3 and when the underlying has a price of $500 the option has a

An option has a delta of 0.7 and a gamma of 0.3 and when the underlying has a price of $500 the option has a price of $20. What is the delta-gamma approximation to the new option price when the underlying price changes to $502? Group of answer choices

$21.2

$22.6

$22

None of the answers are correct

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