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5583数理金融中等数值题short

Vega Maturity Ranking 3

题目

Two European calls have the same spot, strike family, rate, dividend yield, and volatility 0.18. Assume both have approximately the same d1 = 0, but option A has maturity 0.5 and option B has maturity 1.5. Which option has the larger Black-Scholes vega?

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