题目
Consider the following call option which is re-priced after a mild + 3.0% shock to its volatility. In both cases, the stock = strike = $50 (i.e., at an-the-money call option), the risk-free rate is 2.0% and the maturity is one year: When volatility is 30.0%, the option price is $6.41 When volatility increases to 33.0%, the option price is $6.99 Which is nearest to the option's vega?
选项
A.0.19
B.0.580
C.19.33
D.58.40
答案
C
解析
19.33 = (6.99 - 6.41)/(0.33 - 0.30)19.33 = (6.99 - 6.41)/(0.33 - 0.30)