In the absence of an explicit formula, we can estimate the change in the option price due
Question:
Vega = BSCall(S, K, σ + ϵ, r, t, δ) − BSCall(S, K, σ − ϵ, r, t, δ)/2ϵ
a. What is the logic behind this calculation? Why does need to be small?
b. Compare the results of this calculation with results obtained from BSCallVega.
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a Vega is the derivative of the BlackScholes function wit...View the full answer
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