FVC’s Tim Mortimer looks at the role of Vega, or sensitivity to the volatility level.
The previous articles in this Greek textbook series looked at Delta and Gamma, which are the first and second order sensitivities of an option or structured product price with respect to the underlying asset. In practice all pricing parameters that go into option pricing continuously change, just like any other economic variable These are the most important and direct of the Greeks as hedging the underlying asset as its price changes is fundamental to the concept of how derivatives and their