Question Assume the Black-Scholes framework and the following information for a stock: i) The current stock price is 50 ii) The following information on an option written on the stock: Price: 1.77 Delta: -0.32 Gamma: 0.40 iii) By using delta-gamma approximation, it is found that when the stock price decreases by a small amount , the price of the option increases by 0.06 Find a Possible Answers A At least 0.11 B At least 0.11 but less than 0.13 c At least 0.13 but less than 0.15 D At least 0.15 but less than 0.17 E At least 0.17