Derivatives

Naked Put Writing

August 27, 2021
Derivatives

Using The Black-Scholes Model To Price Floorlets

August 27, 2021

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An option sensitivity (literally a cross Greek) that measures the rate of change of gamma in one underlying (of a two-asset option or a multi-asset option) in response to a change in the level of another underlying. Mathematically, cross speed (a type of speed) is given by:

Cross Speed

For calculation, the so-called mixed numerical Greeks are used.

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