Microsoft PowerPoint - PoF.ppt

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Vega: change of the option price given a change in the volatility.

ƒ

Black-Scholes vega of a call with E = 100, T = 1y, r = 10% p.a. and

σ

=

20% p.a..

()

σ

ν

σ

ν

∂ ∂

=

=

∂ ∂

=

p

Put

d

N'

T

S

c

Call

:

&

1

:

Derivative securities: Options - Black-Scholes modelGreeks