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
D
Business
You might also like to view...
Which of the following could not be sold in the secondary market?
(A) Savings bonds (B) Municipal bonds (C) Junk bonds (D) Corporate bonds
Business
Identifying the key decision variables in a decision model is considered to be part of "model solution."
Indicate whether the statement is true or false
Business