Estimate the "Vega" of the following option. Assume that there are 252 days in a trading year and thus exactly 6-months until expiration means 126 trading days until expiration. The option is a call option. The stock is trading at $1,000. The option has exactly 6-months until expiration. The option strike price is $1,050. The risk-free rate is 3%. The stock pays no dividends. Our best estimate of the stock's volatility is 40% annualized. Group of answer choices $.26 $1.12 $2.82 $15.73
Estimate the "Vega" of the following option. Assume that there are 252 days in a trading year and thus exactly 6-months until expiration means 126 trading days until expiration. The option is a call option. The stock is trading at $1,000. The option has exactly 6-months until expiration. The option strike price is $1,050. The risk-free rate is 3%. The stock pays no dividends. Our best estimate of the stock's volatility is 40% annualized. Group of answer choices $.26 $1.12 $2.82 $15.73
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Estimate the "Vega" of the following option. Assume that there are 252 days in a trading year and thus exactly 6-months until expiration means 126 trading days until expiration.
The option is a call option.
The stock is trading at $1,000.
The option has exactly 6-months until expiration.
The option strike price is $1,050.
The risk-free rate is 3%.
The stock pays no dividends.
Our best estimate of the stock's volatility is 40% annualized.
Group of answer choices
$.26
$1.12
$2.82
$15.73
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