Multiple Choice
The price of a European call option is $5 at an implied volatility of 0.25. The vega of the call is 20. If the implied volatility increases to 0.26, what is the new value of a European put option with the same strike and maturity as the call that is currently priced at $6?
A) $0.8
B) $11.2
C) $5.8
D) $6.2
Correct Answer:
Verified
Correct Answer:
Verified
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