18.13 Calculation of Vega o We can proceed as follows Construct a new tree with a volatility of 41% instead of 40% Value of option is 4.62 ° Vega is 4.62-449=0.13 per 1% change in volatility Options, Futures, and Other Derivatives, 5th edition C 2002 by John C Hull18.13 Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull Calculation of Vega • We can proceed as follows • Construct a new tree with a volatility of 41% instead of 40%. • Value of option is 4.62 • Vega is 4.62 − 4.49 = 0.13 per 1% change in volatility