cross gamma

noun

(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.

The cross gamma measures the sensitivity of the option's delta to changes in the underlying asset's volatility.

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意味（1）

(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

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