期权伽马 是什么?
期权伽马 A measure of the rate of change in an option’s delta relative to changes in the price of the underlying asset; indicates the convexity of an option’s value and risk exposure.
Source: CFA Institute, IFRS Foundation, FASB (GAAP), Basel III Framework
How is “期权伽马” Used in Practice?
期权伽马量化德尔塔对标的资产价格变化的敏感度,是管理大型期权组合非线性风险的关键。
Certification Exam Relevance
Who Needs to Know This Term?
- Financial Analysts
- Bankers
- Traders
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期权伽马 是什么?
A measure of the rate of change in an option’s delta relative to changes in the price of the underlying asset; indicates the convexity of an option’s value and risk exposure.
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