DvommaDvol en · NOUN
Etymology
From the mathematical formula (∂vomma)/(∂σ), the partial derivative of vomma with respect to volatility (σ), pronounced as "D vomma (by) D vol(atility)".
Meanings
- (uncountable) A third-order measure of derivative price sensitivity, expressed as the rate of change of vomma with respect to changes in the volatility of the underlying asset.
Hypernyms
Greeks (measure of derivative price sensitivity)