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Consider a 4 month European put on a stock with no dividend the follow- ing parameters: S(0) = 305, K = 300, r =
Consider a 4 month European put on a stock with no dividend the follow- ing parameters: S(0) = 305, K = 300, r = 0.08, o = 0.25 (a) Compute the option's vega (b) If o increases by 0.01, what is the approximate increase in the value of the option?
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To compute the options vega we need to use the BlackScholes formula for European options The vega re...
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Investments
Authors: Zvi Bodie, Alex Kane, Alan Marcus, Stylianos Perrakis, Peter
8th Canadian Edition
007133887X, 978-0071338875
