Vega: Difference between revisions
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imported>Doug Williamson m (Spacing 14/8/13) |
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''Options analysis''. | ''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. | |||
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. | Also known as Epsilon, Kappa or Tau. | ||
== See also == | == See also == | ||
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* [[Vega hedging]] | * [[Vega hedging]] | ||
* [[Volatility]] | * [[Volatility]] | ||
Revision as of 10:28, 14 August 2013
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.
