Question
1a.The Equity Corporate Derivatives intends to bid on a $300m, 7Y, call spread overlay with stikes 150%- 160%. Estimate the max vega and explain (no
1a.The Equity Corporate Derivatives intends to bid on a $300m, 7Y, call spread overlay with stikes 150%- 160%. Estimate the max vega and explain (no need to have an accurate number, only an estimate)
b.Same question, where the strikes are 120% - 180%
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
