The following information is from website: http://en.wikipedia.org/wiki/Sapphire
Treatments Sapphires may be treated by several methods to enhance and improve their clarity and color.[12] It is common practice to heat natural sapphires to improve or enhance color. This is done by heating the sapphires in air to temperatures between 500 and 1800 °C for several hours, or by heating in a nitrogen-deficient atmosphere oven for seven days or more. Upon heating, the stone becomes a more blue in color but loses some of the rutile inclusions (silk). When high heat temperatures are used, the stone loses all of the silk and becomes clear under magnification.[13] Evidence of sapphire and other gemstones being subjected to heating goes back to, at least, Roman times.[14] Un-heated stones are quite rare and will often be sold accompanied by a certificate from an independent gemological laboratory attesting to "no evidence of heat treatment".
Diffusion treatments are somewhat more controversial as they are used to add elements to the sapphire for the purpose of improving colors. Typically beryllium is diffused into a sapphire with very high heat, just below the melting point of the sapphire. Initially (c. 2000) orange sapphires were created with this process, although now the process has been advanced and many colors of sapphire are often treated with beryllium. It is unethical to sell beryllium-treated sapphires without disclosure, and the price should be much lower than a natural gem or one that has been enhanced by heat alone.
Treating stones with surface diffusion is generally frowned upon; as stones chip or are repolished/refaceted the 'padparadscha' colored layer can be removed. (There are some diffusion treated stones in which the color goes much deeper than the surface, however.) The problem lies in the fact that treated padparadschas are at times very difficult to detect, and they are the reason that getting a certificate from a reputable gemological lab (e.g., Gubelin, SSEF, AGTA, etc.) is recommended before investing in them.
According to Federal Trade Commission guidelines, in the United States, disclosure is required of any mode of enhancement that has a significant effect on the gem's value.[15]
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The medium blue color sapphires are expensive, therefore, some companies buy cheap white sapphires to be heat treated, for example, white sapphire is US$ 2.00 per carat and after the heat treatment, the stone may be valued to US$ 20.00 or US$ 200.00 per carat. It's up to the blue color shade. In the past, the heat treatment is acceptable to the gemstone business as long as the sellers tell the buyers exactly that the stones are heat treated. If the sellers do not tell the buyers that the stones are heat treated, it is regarded as a cheating.
If you buy the expensive blue sapphire and want to be sure that you are not lied by the supplier. You have to ask the seller to make the appraisal certificate from a reliable and well-known company. The appraisal will show the market price and specify whether it is the natural or heat treatment stone, however, there is the additional cost for the appraisal certificate too.