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2n(x) 0.00 0.40 0.10 0.40 0.20 0.39 0.30 0.38 0.40 0.37 0.50 0.35 0.60 0.33 0.70 0.31 0.80 0.29 0.90 0.27 1.00 0.24 For this
2n(x) 0.00 0.40 0.10 0.40 0.20 0.39 0.30 0.38 0.40 0.37 0.50 0.35 0.60 0.33 0.70 0.31 0.80 0.29 0.90 0.27 1.00 0.24 For this problem please reference the above table for n(r), the probability distribution function (PDF) of the standard normal distribution, evaluated at the values of c. Assume the Black-Scholes framework for option pricing holds. 10. Consider an at-the-money European call option on a nondividend-paying stock. You are given: The option will expire in one year The stock is currently trading at S= 100 The volatility is o = 0.20 The risk-free annual continuously compounded interest rate r = 2% so that " = -0.02 0.98 Compute a numerical value for the option's vega. Please round your answer to the nearest tenth (round to 1 decimal place). ac Vega = 20
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