greeks

vandana.jain
Finance Junkie
Posts: 41
Joined: Tue Jul 24, 2012 4:56 pm

greeks

Postby vandana.jain » Fri Oct 26, 2012 11:50 am

hi,
please help me out with this question
Suppose there are two call options on the same stock which is trading at $40. The options are having strike prices of $40 (C40) and $45(C45). Suppose the volatility of the stock increases by 0.001. How will be the increase in the values of the two call options?
Choose one answer.
a. Value of C_40 will increase more than the increase in the value of C_45.
b. Value of C_40 will increase less than the increase in the value of C_45.
c. Value of C_40 will increase by the same amount as the increase in the value of C_45.
d. It cannot be determined whose value will increase more.


what should be the ans...

content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: greeks

Postby content.pristine » Fri Oct 26, 2012 12:45 pm

A is correct.
Vega is highest for At the Money Options..

8-)

vandana.jain
Finance Junkie
Posts: 41
Joined: Tue Jul 24, 2012 4:56 pm

Re: greeks

Postby vandana.jain » Sat Oct 27, 2012 10:21 am

thank you.....


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