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4.3.VegaandVolatilityRisk
Thesensitivityoftheoptionpricetothevolatilityiscalledthevegaandisdefinedas
Vega=ChangeinoptionpriceChangeinvolatility

Aswithdeltaandgamma,therelationshipaboveisanapproximation,butweshalltreatitasexact.
Anoptionpriceisverysensitivetothevolatilityoftheunderlying.Moreover,thevolatilityisthe
onlyunobservablevariablerequiredtovalueanoption.Hence,volatilityisthemostcritical
variable.Whenweexaminedoptionpricingmodels,westudiedtheBlackScholesMertonand
binomialmodels.Inneitherofthesemodelsisthevolatilityallowedtochange.Yetnoonebelieves
thatvolatilityisconstantonsomedaysthestockmarketisclearlymorevolatilethanonotherdays.
Thisriskofchangingvolatilitycangreatlyaffectadealerspositioninoptions.Adeltahedged
positionwithazeroorinsignificantgammacangreatlychangeinvalueifthevolatilitychanges.If,
forexample,thedealerholdstheunderlyingandsellsoptionstodeltahedge,anincreasein
volatilitywillraisethevalueoftheoptions,generatingapotentiallylargelossforthedealer.
Measuringthesensitivityoftheoptionpricetothevolatilityisdifficult.ThevegafromtheBlack
ScholesMertonorbinomialmodelsisasomewhatartificialconstruction.Itrepresentshowmuch
themodelpricechangesifonechangesthevolatilitybyasmallamount.Butinfact,themodel
itselfisbasedontheassumptionthatvolatilitydoesnotchange.Forcingthevolatilitytochangeina
modelthatdoesnotacknowledgethatvolatilitycanchangehasunclearimplications.34Itisclear,
however,thatanoptionpriceismoresensitivetothevolatilitywhenitisatthemoney.
Dealerstrytomeasurethevega,monitorit,andinsomecaseshedgeitbytakingonapositionin
anotheroption,usingthatoptionsvegatooffsetthevegaontheoriginaloption.Managingvega
risk,however,cannotbedoneindependentlyofmanagingdeltaandgammarisk.Thus,thedealeris
requiredtojointlymonitorandmanagetheriskassociatedwiththedelta,gamma,andvega.We
shouldbeawareoftheconceptsbehindmanagingtheserisks.

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