J
JohnnySinz
Member
I was hoping if someone could clarify if the following relationship holds true:
Vega = S*sqrt(T)*NORM(d1)
If this is true, we are given values for Vega, S and T.
If we solve this by making NORM(d1) the subject, which is also the formula for delta, the answer is:
29/60*sqrt(3) = 0.279 which is different to what we would get if we used the longer formulae for calculating d1 using all the information given in the question.
Vega = S*sqrt(T)*NORM(d1)
If this is true, we are given values for Vega, S and T.
If we solve this by making NORM(d1) the subject, which is also the formula for delta, the answer is:
29/60*sqrt(3) = 0.279 which is different to what we would get if we used the longer formulae for calculating d1 using all the information given in the question.