Consider a European call option on a non-dividend-paying stock. The current stock price is $120, the exercise price is $110, the risk-free interest rate is 4% per annum, the volatility is 20% per annum and the time to expiry is six months.

Determine the approximated change in the price of the call option due to the increase in volatility rate by 5% p.a. by a suitable Greek Letter.

p.s. Please don't use Excel