Question Assume the Black-Scholes framework. For a nondividend paying stock, you are given: i) The current stock price is 20. ii) The stock' s volatility is 30%. iii) The continuously compounded risk-free rate is 5%. Consider a 22-strike European put option on the stock expiring in 1 year. Using the delta-gamma approximation, calculate the price of the put option if the stock price changes to 20.50 a week later. Possible Answers A 2.3 B 2.5 C 2.7 D 2.9 E 3.1