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A risk manager is analyzing a call option on the GBP with a vega of 0.02.
A risk manager is analyzing a call option on the GBP with a vega of 0.02.
When the perceived future volatility increases by 1%, the call option
A . Increases in value by 0.02.
B . Increases in value by 2.
C . Decreases in value by 0.02.
D . Decreases in value by 2.
Answer: A
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