What is Vanna in option value

What is Vanna in option value?




Vanna: The Vanna is the sensitivity of delta to volatility.


It is used while testing sensitivity of hedge ratios to volatility. This can be misleading at places where gamma is small. And Gamma, which is an option or a portfolio of options, is the second derivative of position concerning the underlying.

   Related Questions in Financial Management

2015 ©TutorsGlobe All rights reserved. TutorsGlobe Rated 4.8/5 based on 34139 reviews.