Vega: Difference between revisions
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imported>Doug Williamson m (Spacing 14/8/13) |
imported>Doug Williamson (Classify page.) |
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The first derivative of option value with respect to the underlying asset's volatility. | The first derivative of option value with respect to the underlying asset's volatility. | ||
Also known as Epsilon, Kappa or Tau. | Also known as Epsilon, Kappa or Tau. | ||
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* [[Vega hedging]] | * [[Vega hedging]] | ||
* [[Volatility]] | * [[Volatility]] | ||
[[Category:Financial_products_and_markets]] | |||
Latest revision as of 20:14, 27 June 2022
Options analysis.
The rate of change of an option’s value with respect to changes in the volatility of the returns on the underlying asset.
The first derivative of option value with respect to the underlying asset's volatility.
Also known as Epsilon, Kappa or Tau.
