Vega hedging: Difference between revisions
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imported>Doug Williamson m (Spacing 14/8/13) |
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The hedging of an option position against changes in the ''volatility'' of the market price of the underlying asset. | The hedging of an option position against changes in the ''volatility'' of the market price of the underlying asset. | ||
A vega hedge is established by buying or selling an appropriate amount of another derivative instrument, for example other options. | A vega hedge is established by buying or selling an appropriate amount of another derivative instrument, for example other options. | ||
== See also == | == See also == | ||
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* [[Vega neutral]] | * [[Vega neutral]] | ||
* [[Volatility]] | * [[Volatility]] | ||
Revision as of 10:27, 14 August 2013
The hedging of an option position against changes in the volatility of the market price of the underlying asset.
A vega hedge is established by buying or selling an appropriate amount of another derivative instrument, for example other options.
