Finding Vega
Quantitative Finance
Level
1
If the vega of the call on the 30 strike is 0.2, what is the vega of the put on the 30 strike of the same expiry?
-0.8
-0.2
0.2
0.8
Cannot be determined
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1 solution
Vega of put=Vega of call (Obtained by differentiating put-call parity with respect to volatility)