A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/ gamma...
An option sensitivity measure (a second-order greek) that captures the second order sensitivity of an option to the volatility of...
A form of gamma that measures the effect of change in delta cash in relative terms. Instead of absolute movements...
A third-order greek that measures the rate of change in the option gamma in response to a change in the...
A variation on variance swaps which weights the periodic squared return of the underlying by the ratio of current price to initial...
A market phenomenon that comes into play when dealers in CMS spread range accrual structures (CRANS) go from exposure being relatively flat...
A risk measure for options which is computed by relating an option's theta to its gamma: Gamma rent = decay/gamma This second-order greek , which is also...
A series of calculations which determine and reflect different profiles of risk exhibited by a stock or asset underlying a derivative in response to changes in...
A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/gamma This second-order greek expresses the quality of gamma...
A tool that measures the amount of change in the delta of a derivative (most often an option) in response to a unit change in...