New answers tagged market
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My reading of it is this:
Sensitivity definitions for vega risk
21.25 The option-level vega risk sensitivity to a given risk factor[8] is measured by multiplying vega by the implied volatility of the option as follows, where:
(1) vega,$\frac{\partial V_i}{\partial \sigma_i}$, is defined as the change in the market value of the option $V_i$ as a ...
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