Option Vega Sensitivity - Quant Researcher Interview Question

Problem Description

Vega measures the sensitivity of an option's price to changes in the volatility of the underlying asset, representing a critical metric for volatility arbitrage and risk management strategies. In the Black-Scholes framework, it is defined as the partial derivative of the option value with respect to the volatility parameter, quantifying the exposure to market uncertainty. Task Implement a function solution(S, K, T, r, sigma) that calculates the Vega ($\nu$) for a list of European options. The f