Consider a one-year European put option on a stock when the stock price is $30, the strike price is $35, the risk-free rate is 4.50%, and the volatility is 25% per annum. Use the DerivaGem software to calculate the price, delta, gamma, vega, theta, and rho of the option. c. Suppose a shocking piece of geopolitical news is reported causing volatility to rise to 35% per annum. What is the expected resulting change in the value of the option? (Assume the calculated value of the related option Greek describes the entire change.) Report your answer rounded to two decimal places. Be sure to include a negative sign if the change is a value decrease