How does the vega of an OTM option behave as we approach maturity? What about the vega

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How does the vega of an OTM option behave as we approach maturity? What about the vega of an ITM option? Derive the answers in the context of the Black-Scholes model and explain the intuition.

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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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How does the vega of an OTM option behave as we approach maturity? What about the vega

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We note that the vega of an option is as follows V...View the full answer

Derivatives Principles And Practice

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