English Explanatory Dictionary

DvegaDspot

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

DvegaDspot

Etymology

From the mathematical formula (∂𝒱)/(∂S), the partial derivative of vega (𝒱) with respect to spot price (S), pronounced as "D vega (by) D spot (price)".

Synonyms

DdeltaDvol vanna
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