Vega partial value.

Namespace: RightEdge.Common
Assembly: Common (in Common.dll) Version: 2010.1.0.0 (2010.1.0.0)

Syntax

C#
public double Vega
Visual Basic
Public Vega As Double
Visual C++
public:
double Vega
F#
val mutable Vega: float

Field Value

Type: Double

Remarks

The change in the value of an option for a single percentage point increase in implied volatility. The further an option goes in-the-money or out-of-the-money, the smaller is vega.

See Also