When the Volatility of an Option Increases from 30% to 32

question 11

Multiple Choice

When the volatility of an option increases from 30% to 32% the value of the option increases from $2.00 to $2.40. What is the vega of the option

• A) 0.20 dollars per %
• B) 0.50 dollars per %
• C) 0.80 dollars per %
• D) 2.00 dollars per %

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