Consider the gap put in Figure 14.4. Using the technique in Problem 12.11, compute vega for this

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Consider the gap put in Figure 14.4. Using the technique in Problem 12.11, compute vega for this option at stock prices of $90, $95, $99, $101, $105, and $110, and for times to expiration of 1 week, 3 months, and 1 year. Explain the values you compute.
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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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