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A risk manager is analyzing a call option on the GBP with a vega of...

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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.

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