A special type of greeks or option sensitivities that express the cross effects between the underlying assets (cross gamma) and the sensitivity to the correlation between these assets (correlation delta).
- Cross gamma: the sensitivity of a multi-asset option to a change in two of the underlying assets. In multi-asset options, the delta with respect to one asset can be affected by a change in another underlying asset even if the first asset has remained unchanged. Cross gamma is particularly important in the context of basket options on correlation and dispersion, and in the context of multi-asset options at large.
- Correlation delta: the first-order sensitivity of the price of a multi-asset option with respect to a change in the correlations between the underlying assets. Correlations vary over time and a multi-asset option’s sensitivity to the correlation between a pair of underlying assets can vary due to a change in the other variables (for example, the underlying’s prices).
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