Question 12 3 ABC stock has price $71.40 at noon, and currently pays no dividend. There is a three-month European-style call on ABC stock with strike price $70. Interest rates are zero. This call has price = 5.00, delta = 0.58, theta = -8.35/year, gamma = .037, vega = 14.0, and implied (annualized) stock volatility 30%. Suppose that you believe that in contrast to the rest of the market), over the next six months, the stock will have (annualized) volatility 45% (Assuming that you are correct,) what is the call option actually worth today (with six months of option life remaining)