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5584数理金融中等数值题short

Vega Maturity Ranking 4

题目

Two European calls have the same spot, strike family, rate, dividend yield, and volatility 0.25. Assume both have approximately the same d1 = 0.25, but option A has maturity 0.75 and option B has maturity 0.25. Which option has the larger Black-Scholes vega?

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