The sensitivity of an option's value to a change in the standard deviation of the return on the underlying asset is measured by the option vega

Name: The sensitivity of an option's value to a change in the standard deviation of the return on the underlying asset is measured by the option vega
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Vega measures the sensitivity of an option's price to changes in the volatility of the underlying asset, which is often expressed in terms of the standard deviation of returns.

The Sensitivity of an Option's Value to a Change in the Standard