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What is the vega of the call-put

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Reference no: EM132709881

A stock is trading at $50 and has an annual volatility of 30%. The risk-free interest rate is 3%. A 6-month European call and a 6-month European put both have a strike price of $48.

a) What is the vega of the call/put? If volatility jumps by 1% today, what is the approximate change to the value of the call/put based on vega?

b) What is the rho of the call? If the Fed raises interest rate by 0.25% today, what is the approximate change to the value of the call based on rho?

c) What is the rho of the put? If the Fed raises interest rate by 0.25% today, what is the approximate change to the value of the put based on rho?

Reference no: EM132709881

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