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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