A weather derivative (originally introduced by US firm Enron Energy Corporation in 1997) that is used for hedging purposes, where...

The vega value of a derivative instrument, a spread, or a position multiplied by the notional principal. It corresponds to...

A tool that measures the changes in vega resulting from changes in volatility (vol) levels. Vega, per se, captures the...

A delta greek that measures the sensitivity of delta (of an option position) to changes in time. In other words,...

A third-order greek that measures the rate of change in the option gamma in response to a change in the...

One of the Greeks (sensitivity measures) that captures the rate of change of gamma with respect to changes in the...

A breed of options which commonly have dispersion-related payoffs. Particularly, the actual payoff of such options depends at maturity on...

A tool that measures the changes in delta resulting from changes in volatility levels. Delta, per se, captures the change...

A second-order greek that measures the instantaneous rate of change of an option’s delta with respect to the passage of...

An Asian option in which the average of underlying prices, interest rates, indices, etc, is calculated at discrete times over...