Assume the Black-Scholes framework holds. Consider an option on a stock. You are given the following information at time 0: i) The stock price is 50 ii) The option price is 3.00 iii) The option delta is 0.611 iv) The option gamma is 0.020 v) The option theta (measured in days) is -0.133 The stock price changes to X after two days. Using the delta-gamma-theta approximation, you find that the option price changes to 1.90. Determine X. Possible Answers A 47.40 B 47.80

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