Assume That a $55 Strike Call Has a 1

question 2

Multiple Choice

Assume that a $55 strike call has a 1.5% continuous dividend,r = 0.05 and the stock price is $50.00.If the option has 45 days until expiration,what is the vega,given a shift in volatility from 33.0% to 34.0%?

• A) 0.20
• B) 0.15
• C) 0.10
• D) 0.05

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Definitions:

Degrees Of Freedom

The number of independent values or quantities which can be assigned to a statistical distribution, influencing the shape of the distribution.

Dependent-Samples T Test

A mathematical method deployed to evaluate if there's a significant difference in averages between two associated groups.

Null Hypothesis

A statistical hypothesis that assumes no significant difference or effect in a given experiment or observation.

Critical Value

A point on the scale of a test statistic beyond which we reject the null hypothesis and conclude that the observed data are unlikely under the assumed model.