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elf_fu elf_fu
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6 years ago
Assume that a $55 strike call has a 1.5% continuous dividend, r = 0.05 and the stock price is $50.00. If the option has 45 days until expiration, what is the vega, given a shift in volatility from 33.0% to 34.0%?
A) 0.20
B) 0.15
C) 0.10
D) 0.05
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Derivatives Markets

Derivatives Markets


Edition: 3rd
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phuongha2892phuongha2892
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6 years ago
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elf_fu Author
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#2
6 years ago
Thank you Heavy Heart
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