题目
A call option with a price of $3.52 has a vega of 18.50. If the volatility increases from 20.0% to 26.0% per annum, what is the estimated price of the option under the higher volatility?
选项
A.$3.69
B.$4.63
C.$8.33
D.$9.07
答案
B
解析
change in option price = 0.06×18.5= +$1.11, such that new estimated option price = $3.52 + $1.11 = $4.63期权价格的变化0.06×18.5= $1.11，新的估计的期权价格为= $3.52＋$1.11 = $4.63