vomma en · NOUN
Pronunciation
- /ˈvɒm.ə/ (Received-Pronunciation)
- /ˈvɑ.mə/ (General-American)
Etymology
Blend of volatility + gamma.
Meanings
- (uncountable) 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.
Hypernyms
Greeks (measure of derivative price sensitivity)