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option-vega

  1. Nicole Seaman

    YouTube T4-17: Option Vega

    Vega is the sensitivity of an option's value to volatility. Vega tends to be highest when the option is at-the-money (ATM). In this example, where S = K = 100, σ = 30%, T = 1.0 year, and Rf = 4.0%, the vega is 38.32. This is the (linearly estimated) change in the option value per one unit (ie...
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