In the absence of an explicit formula, we can estimate the change in the option price due to a change in an input—such as —by computing the following for a small value of a. What is the logic behind...

In the absence of an explicit formula, we can estimate the change in the option price due to a change in an input—such as
—by computing the following for a small value of

a. What is the logic behind this calculation? Why does
 o be small?

b. Compare the results of this calculation with results obtained from BSCallVega.