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Assume that S = $ 4 0 , sigma = 3 0 % , r = 8 % , and delta = 0

Assume that S = $40,\sigma =30%, r =8%, and \delta =0(non-dividend paying stock). Consider a call option with strike K=40$. The Delta and Gamma of the option are given by, respectively, 0.5824 and 0.0652. Assume the stock price declines to $39.25. What would be the call value predicted by the Delta-Gamma approximation? (please report your answer with 3 decimal)

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