Question

Which of the following best describes Vega Delta C / Delta S Delta C / Delta...

Which of the following best describes Vega

  1. Delta C / Delta S
  2. Delta C / Delta T
  3. Delta V / Delta S
  4. Delta V / Delta V                                                       
  5. None of the above

Please explain your choice

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Answer #1

Vega is the change in call value with respect to change in volatility

Delta C / Delta V

This represents change in C w.r.t. change in V

Option E

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