8. Assume that a $55 strike call has a 1.5% continuous dividend, r =0.05 and the stock price is $50.00. 34.0%? If the option has 45 days until expiration, what is the vega given a shift in volatility from 33.0% to (a) 0.20 (b) 0.15 (c) 0.10 (d) 0.05 study Answer: D ia