Vega


Also found in: Dictionary, Thesaurus, Acronyms, Idioms, Encyclopedia, Wikipedia.

Vega

A term that describes the sensitivity of the option price to a one-percent change in volatility.

Vega

In the Black-Scholes Model, the amount of change to the price of an option contract as a result of a 1% change to the implied volatility of the underlying. The vega is calculated mathematically, and can be large in a new options contract. The vega tends to decline closer to the expiry date of the contract. It is not necessary for the price of the underlying to change in order for the vega to change; only the expected volatility of the underlying needs to change. The concept of vega is one of the three Greeks often used in the Black-Scholes Model. See also: Delta, Theta.

vega

The change in an option's premium for a 1% change in the volatility of the underlying futures contract.
Mentioned in ?
References in periodicals archive ?
Things like this were a daily occurrence, according to Vega.
While Raja Koduri has said the consumer variants will be clocked higher than the Vega FE, AMD hasn't historically gotten a great return here.
In my view, Dr Vega Vega does not pose a serious risk to persons but the surgery which he and others perform does pose a risk."
October 13-14 / Washington, DC November 4-5 / Las Vegas, NV
Soaring 43 stories above the Strip is Delano Las Vegas at Mandalay Bay.
A post shared by Paris Vegas (@parisvegas) on Nov 21, 2017 at 7:33pm PST
Within the past few years, the Bank of Las Vegas had opened and begun lending money to casinos, and the Teamsters Central States Pension Fund had started to do the same, opening new possibilities for expansion in Las Vegas.
Vegas.com attracts 3.4m visitors per month across all platforms, including the popular Google and iOS Las Vegas app.
For people looking to relax and unwind, Las Vegas has you covered.
Vegas is where fortunes are created and fortunes are lost.
Tropicana Las Vegas Hotel, Resort and Casino, a US-based hotel in Las Vegas, Nevada, has announced launch of Las Vegas Mob Experience exhibit on March 30, 2011.