Consider the gap put in Figure 14.4. Using the technique in Problem 12.11, compute vega for this…

Consider the gap put in Figure 14.4. Using the technique in Problem 12.11, compute vega for this option at stock prices of $90, $95, $99, $101, $105, and $110, and for times to expiration of 1 week, 3 months, and 1 year. Explain the values you compute.

 

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