Finance
Nonagency Collateral
April 9, 2022
Derivatives
Carry Arbitrage
April 9, 2022

A cross-Greek (a sensitivity measure for two-asset options or multiple-asset options) that captures the rate of change of vega in one underlying asset in reaction to the volatility of another underlying. Volga is the second derivative of implied volatility (of an option).

A cross-volga is calculated by adjusting cross volatility, up and down, by a fixed amount and then figuring out the average time value of the option.

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