What is Vega
What is Vega?
Expert
Vega: The Vega, sometimes termed as zeta or kappa, it is a very significant but confusing quantity. This is the sensitivity of the option price to volatility.
Vega = ∂V/∂σ.
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A stock whose value is now $44.75 is growing on average by 15 percent per annum. Its volatility is 22 percent. The interest rate is 4 percent. You need to value a call option along with a strike of $45, expiring in two months’ time. So, what can you do?
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