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Comparing Vega of options across strikes and time

Quantitative Finance

When the stock is trading at 100, which of the following options have the largest vega?

Call on the 100 strike with 1 month to expiry Call on the 80 strike with 1 months to expiry Call on the 80 strike with 3 months to expiry Call on the 100 strike with 3 months to expiry

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by Calvin Lin

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