A weather derivative (specifically a degree day option) that gives the holder the right, without the obligation, to trade (buy...
The vega value of a derivative instrument, a spread, or a position multiplied by the notional principal. It corresponds to...
An option that gives the holder the right to exchange a base asset (a crude commodity) for one or two...
A tool that measures the changes in vega resulting from changes in volatility (vol) levels. Vega, per se, captures the...
A delta greek that measures the sensitivity of delta (of an option position) to changes in time. In other words,...
A measure that captures the premium difference between the value of an option calculated using the smile volatility and its...
A tool that measures the sensitivity of an option price to implied volatility. It is the change in an option's...
A third-order greek that measures the rate of change in the option gamma in response to a change in the...
One of the Greeks (sensitivity measures) that captures the rate of change of gamma with respect to changes in the...
A breed of options which commonly have dispersion-related payoffs. Particularly, the actual payoff of such options depends at maturity on...