New answers tagged vega
2
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Accepted
Basel FRTB Vega Sensitivity for Market Risk Capital Standardised Approach
Basel must have had in mind an explicit forward finite difference FRTB Vega definition that uses a relative shock (just like for the FRTB Equity Delta), rather than an absolute shock (see FRTB IR ...
- 5,133
1
vote
Accepted
Definition of Theta in presence of time varying volatility
There are indeed (at least) two ways to compute theta, which is defined as a 1 day time bump:
Fixed expiry, where the implied vol of the option is kept constant: this is Black-Scholes theta;
Fixed ...
- 674
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