A stock has a volatility of 40%. An at-the-money call on the stock has a vega of

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A stock has a volatility of 40%. An at-the-money call on the stock has a vega of +21.45. By how much will the call value change if volatility falls to 39%? Assuming the options are European, what about the corresponding put?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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A stock has a volatility of 40%. An at-the-money call on the stock has a vega of

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The change in call value equals the vega multiplied by the change in volati...View the full answer

Derivatives Principles And Practice

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