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Derivatives

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  • August 25, 2021
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Cross Zomma

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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