English Explanatory Dictionary

DvegaDvol

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 volatility of the underlying asset.

Word forms

DvegaDvol

Etymology

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

Synonyms

vega convexity volga vomma
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