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Comparing Vega of options across strikes and time

Quantitative Finance Level 1

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

Excel in math and science

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by Calvin Lin

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