Vega is defined as
A) the change in the value of an option for a dollar change in the price of the underlying asset.
B) the change in the value of the underlying asset for a dollar change in the call price.
C) the percentage change in the value of an option for a 1% change in the value of the underlying asset.
D) the change in the volatility of the underlying stock price.
E) the sensitivity of an option's price to changes in volatility.

Question

Quizplus · Accepted Answer

Vega measures the sensitivity of an option's price to changes in the volatility of the underlying asset. It indicates how much the price of an option is expected to change with a 1% change in the implied volatility of the underlying asset.

Vega Is Defined as