Option Vega Sensitivity - Quant Researcher Interview Question
Difficulty: Medium
Category: derivatives
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: options, greeks, black-scholes, risk-management
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
Practice this medium researcher interview question on MyntBit - the all-in-one quant learning platform with 200+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.