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Derivatives

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  • August 26, 2021
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Ultima

A third-order greek that measures the sensitivity of the option vomma (volga) in response to a change in volatility. It is the third-order derivative of the option value to volatility:

Ultima

The most commonly used form of ultima is the so-called diagonal ultima, i.e., one in which all three of the involved volatilities affect the same factor:

Diagonal Ultima

Ultima is also known as DvommaDvol or DvolgaDvol.


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