Last Updated
：2025/12/04
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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(finance) A measure of derivative price sensitivity, expressed as the rate of change of delta in one underlying asset with respect to the asset price of another underlying asset in a multi-asset option.
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cross gamma
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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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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