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Vera


A second-order Greek that that relates the rate of change in a derivative’s rho to changes in volatility. In other words, it is a second-order measure of derivative price sensitivity (e.g., the price of an exchange-traded option), expressed as the rate of change of rho with respect to changes in a volatility measure.

Rho, by definition, is the amount of change in the price of an option in response to a 1% change in volatility of the a risk-free rate (RFR).

Vera is also known as RHOVA.



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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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