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What is the option vega

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A European put option, written on the S&P500, with strike 563.40, matures in 8 months. The S&P500 index is currently 593.00. The index pays dividends at a rate of 2.00%, and has volatility 17.00%. The (continuously compounded) interest rate is 7.90%. What is the option's vega?

Reference no: EM133077875

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