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Consider the following statements: Statement 1: The vega of a call option is the same as the vega of an otherwise identical put option. Statement
Consider the following statements: Statement 1: The vega of a call option is the same as the vega of an otherwise identical put option. Statement 2: If volatility approaches 0, the value of a European put option will approach Max[0, X ST]. Which of the following is most likely? Only Statement 1 is incorrect. Only Statement 2 is incorrect. Both statements are correct
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