Hello,

In chapter 4, p82, last paragraph, I read that vega gives a natural measure of the uncertainty of the price. Further, the book has that since vols are estimated rather than measured, the change in price for changing vol by 1% gives us a good measure of the size of the range the correct price may lie in. I see that if we have a bound on future vol (say lower bound is sigma1 and upper bound is sigma2), then by calculating two prices based on the two vols, we would have a range for correct option price. However, I don't see how Vega alone could give us this price range estimate. Would you please elaborate?

Many thanks!