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Let S = $60, s = 37%, r = 7.5%, and d = 3% (continuously compounded). Compute the Black-Scholes vega of a $55-strike European put
Let S = $60, s = 37%, r = 7.5%, and d = 3% (continuously compounded). Compute the Black-Scholes vega of a $55-strike European put option with 6 months until expiration. (That is, compute the approximate change in the put price given a 1 percentage point increase in s.) Answers: a. 0.1789 b. 0.2962 c. 0.1183 d. 0.1600 Correcte. 0.1434
Let S = $60, s = 37%, r = 7.5%, and d = 3% (continuously compounded). Compute the Black-Scholes vega of a $55-strike European put option with 6 months until expiration. (That is, compute the approximate change in the put price given a 1 percentage point increase in s.)
Answers:
a. 0.1789
b. 0.2962
c. 0.1183
d. 0.1600
Correcte. 0.1434
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