Last Updated：2025/12/04
Sentence
モデルを再調整した後、リスク管理者はポートフォリオのクロスガンマが増加していることに気づき、二つの原資産間のデルタ感応度が高まっていることを示していると判断した。
Quizzes for review
After recalibrating the model, the risk manager noted that the portfolio's cross gamma had increased, indicating greater sensitivity between the two underlying assets.
See correct answer
After recalibrating the model, the risk manager noted that the portfolio's cross gamma had increased, indicating greater sensitivity between the two underlying assets.
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Related words
cross gamma
Noun
uncountable
Japanese Meaning
複数資産のオプション取引において、一方の基礎資産の価格変動に対する、他方の基礎資産のデルタの変化率、すなわち他資産の価格変動によるデルタ変動の感応度を示す指標。
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