Given the following information, predict the put option's new price after the stock's volatility changes. Initial put option price = $6 Initial volatility = 25% Vega = 13 New volatility = 18% (required precision 0.01 +/- 0.01) Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r

Given the following information, predict the put option's new price after the stock's volatility changes. Initial put option price = $6 Initial volatility = 25% Vega = 13 New volatility = 18% (required precision 0.01 +/- 0.01) Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter5: Financial Options

Section: Chapter Questions

Problem 3Q

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Question

Given the following information, predict the put option's new price after the stock's volatility changes.

Initial put option price = $6

Initial volatility = 25%

Vega = 13

New volatility = 18%

(required precision 0.01 +/- 0.01)

Greeks Reference Guide:

Delta = ∂π/∂S
Theta = ∂π/∂t
Gamma = (∂²π)/(∂S²)
Vega = ∂π/∂σ
Rho = ∂π/∂r

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