Problem

29. A stock has a volatility of 40%. An at-the-money call on the stock has a vega of +21.4...

29. A stock has a volatility of 40%. An at-the-money call on the stock has a vega of +21.45. By how much will the call value change if volatility falls to 39%? Assuming the options are European, what about the corresponding put?

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Solutions For Problems in Chapter 17