The vega of derivatives portfolio dependent

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The vega of a derivatives portfolio dependent on the US dollar – Japanese Yen exchange rate is 250 ($ per %). What is the effect on the portfolio of an increase in the volatility of the exchange rate from 10% to 9.5%?

A. The value of the portfolio decreases by -$1.25.

B. The value of the portfolio decreases by -$125.

C. The value of the portfolio increases by $1.25.

D. The value of the portfolio increases by $125

Reference no: EM131087710

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