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Derivatives




Color


A sensitivity measure for options and other derivatives which calculates the change in gamma in response to the passage of time, ceteris paribus. It capture the rate at which gamma changes with respect to the time to maturity. For example, if the color of a call option is -0.04, its gamma will decrease 3% as the time of maturity of the option decreases by 1%.

Color belongs to the category of cross sensitivities.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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