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Vega, Volga and Vanna. The volatility Greeks.

Vega, Volga and Vanna. The volatility Greeks.

What is Vega?

Vega is the change in the value of the option with respect to change in volatility.

Within the Greeks Vega’s importance rises given how misunderstood the behaviour of volatility is and the impact changes in volatility have on option prices. In earlier chapters we have seen:

a) […]

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