Sensitivity analysis of option prices


Arturo Kohatsu-Higa
Universitat Pompeu Fabra
Department of Economics
Barcelona, Spain


In this talk we will introduce some formulas for the first order 
sensitivity of option prices with respect to changes in volatility. 
This allows to draw some interesting properties of option prices 
with respect to the effect of volatility changes. 
We will also discuss some of its possible applications.