Derivatives

Greeks for Multi-Asset Options

August 25, 2021
Islamic Finance

What Are the Types of Wakalah?

August 25, 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 volatility of another underlying. Mathematically, cross vanna is given by:

Cross Zomma

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

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