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