The Price of a European Call Option Is $5 at an Implied

question 18

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

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