Assume the Black-Scholes framework for a non-dividend paying stock. Consider a 2-year 75-strike call option on the stock. You are given:

i) The current stock price is 70.

ii) The current price of the call option is 3.50.

iii) The delta of the call option is 0.712.

iv) The gamma of the call option is 0.031.

v) The theta of the call option is -0.113.

vi) The continuously compounded risk-free interest rate is 1%.

Using the delta-gamma-theta approximation, determine the change Assume the Black-Scholes framework for a non-dividend paying stock. Consider a 2-year 75-strike call option on the stock. You are given:

i) The current stock price is 70.

ii) The current price of the call option is 3.50.

iii) The delta of the call option is 0.712.

iv) The gamma of the call option is 0.031.

v) The theta of the call option is -0.113.

vi) The continuously compounded risk-free interest rate is 1%.

Using the delta-gamma-theta approximation, determine the change in the price of a 2-year 75-strike put option if the stock price changes to 72 two days later.

A.-0.51 B -0.4 C -0.29 D -0.18 E -0.07