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BSCallVega

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Function Description

Returns the Vega, i.e. sensitivity of price to volatility, of a European call option assuming that the (generalised) Black-Scholes (i.e. Garman-Kohlhagen) pricing formula applies, i.e.:

 

 

See Black-Scholes option pricing greeks for further details of notation and (other) option greeks.

 


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