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

Question:

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. Discuss.