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

question 2

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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