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Medium · derivatives · Quant Researcher interview question · options, greeks, black-scholes, risk-management
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