Definition for : Vega
GLOSSARY LETTER
The vega can be defined as the rate of change in the Derivative of the theoretical Value of the Option vis-Ã -vis Implied volatility. All other factors being equal, the closer an Option is to being In the money (with maximum Time value), the greater is the impact of an increase in Volatility.
(See Chapter 24 Hybrid securities of the Vernimmen)
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