What is Vanna in option value
What is Vanna in option value?
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Vanna: The Vanna is the sensitivity of delta to volatility.
∂2V/∂S∂σ.
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.
Foreign Exchange (FX): It is the exchange of one currency for other or the transformation of one currency into another currency. Foreign exchange too refers to the global market where currencies are traded virtually all around-the-clock. The word fore
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