Question: Let S = $60, s = 37%, r = 7.5%, and d = 3% (continuously compounded). Compute the Black-Scholes vega of a $55-strike European put

Let S = $60, s = 37%, r = 7.5%, and d = 3% (continuously compounded). Compute the Black-Scholes vega of a $55-strike European put option with 6 months until expiration. (That is, compute the approximate change in the put price given a 1 percentage point increase in s.)

Answers:

a. 0.1789

b. 0.2962

c. 0.1183

d. 0.1600

Correcte. 0.1434

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