The sensitivity of the call option price to a change in the volatility of the underlying asset is given by Vega. Vega ($\nu$) for a non-dividend paying stock is calculated as: $\nu = S \sqrt{T} N'(d_1)$ Given: $S = 79$ $T = 1 \text{ month} = \frac{1}{12} \text{ years}$ $N'(d_1) = 0.3788$ $\nu = 79 \times \sqrt{\frac{1}{12}} \times 0.3788 = 79 \times 0.288675 \times 0.3788 \approx 8.638$ The change in the option price for a 1% (0.01) increase in volatility is: $\Delta C = \nu \times \Delta \sigma = 8.638 \times 0.01 \approx 0.08638$ Therefore, the value of the call option will increase by approximately USD 0.0863.