Question: Let S = $48, s = 39%, r = 4.5%, and d = 1.5% (continuously compounded). Compute the Black-Scholes vega of a $40-strike European put

Let S = $48, s = 39%, r = 4.5%, and d = 1.5% (continuously compounded). Compute the Black-Scholes vega of a $40-strike European put option with 9 months until expiration. (That is, compute the approximate change in the put price given a 1 percentage point increase in s.)


Answers:	a. 0.1490
	b. 0.1550
	c. 0.3210
	d. 0.1214
	e. 0.1016

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