Generally, it is the effective monetary advantage which would be obtained when an option is immediately exercised. In call options,...
A third-order greek is a third-order derivative of the option value with respect to some variable. Equivalently, it is the...
The sensitivity of vega (kappa) to a change in the underlying price of an option contract. That is, it is...
The amount of the change in an option price with respect to the decrease in time to expiration. The option value declines or decays...
The amount of the change in an option price with respect to the decrease in time to expiration. The option value declines with the passage...
A 1st order Greek is a first-order derivative of the option value with respect to some variable such as underlying’s price, volatility,...
A first-order Greek is a first-order derivative of the option value with respect to some variable such as underlying’s price, volatility, interest rate,...