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5581数理金融中等数值题short

Vega Maturity Ranking 1

题目

Two European calls have the same spot, strike family, rate, dividend yield, and volatility 0.3. Assume both have approximately the same d1 = 0.1, but option A has maturity 1 and option B has maturity 0.5. Which option has the larger Black-Scholes vega?

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