from Wiktionary, Creative Commons Attribution/Share-Alike License

  • n. A measurement of the sensitivity of the value of an option to changes in the implied volatility of the price of the underlying product.


Perhaps chosen arbitrarily as a word beginning with "v" (for "volatility") that sounds as if it could be a Greek letter (like the related risk parameters "delta", "gamma" etc.) (Wiktionary)



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  • A made-up Greek letter representing the partial derivative of the value with respect to volatility in the Black-Scholes equations. The second derivative is denoted by another invented letter, volga, and the derivative with respect to both volatility and price is vanna.

    September 17, 2008