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5585数理金融中等数值题short

Vega Maturity Ranking 5

题目

Two European puts have the same spot, strike family, rate, dividend yield, and volatility 0.2. Assume both have approximately the same d1 = -0.05, but option A has maturity 1.25 and option B has maturity 0.5. Which option has the larger Black-Scholes vega?

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