5582数理金融中等数值题short
Vega Maturity Ranking 2
题目
Two European puts have the same spot, strike family, rate, dividend yield, and volatility 0.22. Assume both have approximately the same d1 = 0.05, but option A has maturity 0.25 and option B has maturity 1. Which option has the larger Black-Scholes vega?
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