The Following Information Is Given About Options on the Stock $\sigma$

question 4

Multiple Choice

The following information is given about options on the stock of a certain company.
S₀ = 23 X = 20
r_c = 0.09 T = 0.5
$\sigma$ ² = 0.15
No dividends are expected.
Use this information to answer questions 1 through 8.
-The call's vega is: (Due to differences in rounding your calculations may be slightly different."none of the above" should be selected only if your answer is different by more than 0.05. )

• A)-3.02
• B)0.046
• C)-0.792
• D)4.67
• E)none of the above

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Definitions:

Type II Error

The error occurs when the null hypothesis is not rejected when it is actually false.

Null Hypothesis

The null hypothesis is a statement in statistical inference that suggests there is no significant effect or no difference, serving as the default assumption to be tested.

Type I Error

The mistake of rejecting the null hypothesis when it is actually true, commonly referred to as a "false positive".

Beta

A symbol often representing the type II error rate in hypothesis testing, or a measure of risk exposure in finance.