22. The vega of an option measures the dollar price change in the price of the option...

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22. The vega of an option measures the dollar price change in the price of the option for a 1% change in expected yield volatility.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 23, 2024 10:01 AM

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22. The vega of an option measures the dollar price change in the price of the option for a 1% change in expected yield volatility.
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22. The vega of an option measures the dollar price change in the price of the option...

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Measuring And Controlling Interest Rate And Credit Risk

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