What is Vomma or Volga in option value
What is Vomma or Volga in option value?
Expert
Vomma or Volga: It is the second derivative of the option value regarding volatility.
∂2V/∂σ2.
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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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