Re: Grudge Match - The Saga Continues......
Bermuda is a hybrid of American and European options so when the word American is in mentioned, it implies more volatility (hence more expensive) coz it means "Any Time" esp in relation exotics options concept.
Tyra Banks was the answer, correct
1 mth option in USD 100 mio is 100K vega
How much vega if it's 3mths for the same amount?
300k
or
173k?
Bermuda is a hybrid of American and European options so when the word American is in mentioned, it implies more volatility (hence more expensive) coz it means "Any Time" esp in relation exotics options concept.
Tyra Banks was the answer, correct
1 mth option in USD 100 mio is 100K vega
How much vega if it's 3mths for the same amount?
300k
or
173k?