The Following Information Is Given About Options on the Stock $\sigma$

Multiple Choice

The following information is given about options on the stock of a certain company.
S₀ = 23 X = 20
r_c = 0.09 T = 0.5
$\sigma$ ² = 0.15
No dividends are expected.
Use this information to answer questions 1 through 8.
-The call's vega is: (Due to differences in rounding your calculations may be slightly different."none of the above" should be selected only if your answer is different by more than 0.05. )

A) -3.02
B) 0.046
C) -0.792
D) 4.67
E) none of the above