English Explanatory Dictionary

DdeltaDvol

English dictionary entry

Meanings

noun
  1. A second-order measure of derivative price sensitivity, expressed as the rate of change of vega with respect to changes in the spot price, or equivalently the rate of change of delta with respect to changes in the volatility of the underlying asset.

Word forms

DdeltaDvol

Etymology

From the mathematical formula (∂Δ)/(∂σ), the partial derivative of delta (Δ) with respect to volatility (σ), pronounced as "D delta (by) D vol(atility)".

Synonyms

DvegaDspot vanna
This entry uses open data from Wiktionary (CC BY-SA/GFDL). Word forms are used for search and are not indexed as separate pages.
Back to search All on D Russian dictionary Dahl dictionary