Let s assume a call option at-the-money (European exercise), maturity 8 years, on an Underlying with a 20% volatility and a price of 100. - Do you know a proxy formula for the price of this call ? Where does it come from (we just need a hint and not the full demonstration), and what would be the numerical result ? - If the rates go up by 0.10% per year, how does the price of this option move? We expect numerical results.