What Does Vega Measure

question 5

Multiple Choice

What does vega measure?

• A) The rate of change of delta with the asset price
• B) The rate of change of the portfolio value with the passage of time
• C) The sensitivity of a portfolio value to interest rate changes
• D) None of the above

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Definitions:

Type II Error

The error that occurs when a statistical test fails to reject a false null hypothesis.

Type I Error

The incorrect rejection of a true null hypothesis, or "false positive," often denoted by alpha (α).

Statistical Significance

A measure of whether observed data can be considered as not being the result of chance, typically through the use of a p-value.

Dependent-Samples T-Test

A statistical procedure used to compare means from the same group at two different times or under two different conditions.