Consider a stock selling for $$100,$ with volatility $($standard deviation$)$ of $30\%$ per year. The stock pays no dividends. The risk$-$free continuously compounded interest rate is $4\%.$ Now consider a call option on this stock with strike price $95$ and $3-$month maturity. What is the vega of the call? Vega should be calculated as the change in the value of the option given a one percentage point increase in sigma $($i$.$e$.,$ sigma increases by $\mathrm{.}01,$ consistent with our class notes$).$