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noun
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.
Definition source: English Wiktionary via Wiktextract
Usage: uncountable
Topics: business, finance
No example sentence was provided for this meaning.
Synonyms: none provided
Antonyms: none provided
History
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)".
