A 6-Month Call Option on ABC Stock Is Priced at $2.80.The

Multiple Choice

A 6-month call option on ABC stock is priced at $2.80.The call option delta is 0.66.How will the approximate call option price be computed if the underlying stock price increases by $1?

A) $2.80
B) $2.80 - $0.66
C) $2.80 + $0.66
D) $2.80 × 0.66
E) $2.80 × (1 + 0.66)