Question: Let S = $43, s = 44%, r = 5.5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes vega of a $50-strike European call

Let S = $43, s = 44%, r = 5.5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes vega of a $50-strike European call option with 9 months until expiration. (That is, compute the approximate change in the call price given a 1 percentage point increase in s.) The value of d1 is -0.14623

a. 0.1269

b. 0.1014

c. 0.1615

d. 0.1443

e. 0.1839

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Let S = $49, s = 40%, r = 5.5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes delta (D) of a $50-strike European put option with 3 months until expiration. a. 0.4694 b. 0.5696 c....

Let S = $58, s = 44%, r = 4%, and d = 2.5% (continuously compounded). Compute the Black-Scholes price for a $60-strike European call option with 3 months until expiration. Option D is correct, but...

please explain all the steps. No excel work plz Let S = $57, s = 26%, r = 4%, and d = 2.5% (continuously compounded). Compute the Black-Scholes price for a $50-strike European call option with 3...

post all the steps Let S = $57, s = 26%, r = 4%, and d = 2.5% (continuously compounded). Compute the Black-Scholes price for a $50-strike European call option with 3 months until expiration. a. $0.53...

Let S = $65, s = 43%, r = 5.5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes price for a $70-strike European call option with 3 months until expiration. Correct answer is $3.77...

Let S = $69, s = 35%, r = 4.5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes rho (r) of a $65-strike European call option with 6 months until expiration. (That is, compute the...

Let S = $43, s = 40%, r = 6%, and d = 3% (continuously compounded). Compute the Black-Scholes price for a $35-strike European put option with 6 months until expiration. a. $9.72 b. $1.33 c. $0.00 d....

Let S = $33, s = 41%, r = 4%, and d = 2.5% (continuously compounded). Compute the Black-Scholes delta (D) of a $35-strike European put option with 3 months until expiration. ANSWER: 0.5625 Please...

Let S = $64, s = 45%, r = 5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes price for a $60-strike European put option with 9 months until expiration. Correct answer is $7.02 What...

1a) Let S = $60, s = 30%, r = 7%, and d = 3% (continuously compounded). Compute the Black-Scholes price for a $65-strike European call option with 6 months until expiration. Answers: a. $2.18 b....

Carolina Company purchased a building and the land on which the building is situated for a total cost of $800,000 cash. The land was appraised at $300,000 and the building at $700,000. Required a....

A union of restaurant and foodservice workers would like to estimate this year's mean hourly wage, , of foodservice workers in the U.S. Last year's mean hourly wage was $8.14, and there is reason to...

I believe I got charged for Easy Bib and would like a refund.

On 1 March 2007 DB Limited issued R560 000 15% debentures at R98. The debentures were to be redeemed at par in four equal annual payments starting 28 February 2010. Required: Journalise the above...