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Derivatives




Vanna


The sensitivity of vega (kappa) to a change in the underlying price of an option contract. That is, it is equal to the first mathematical derivative of vega with respect to a change in the underlying asset price. In terms of delta, it represents the first mathematical derivative of delta with respect to volatility. Taken with respect to an option value, vanna is the second mathematical derivative of the option price with respect to changes in volatility and underlying price.



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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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