Why is Vomma/Volga measures convexity

Why is Vomma/Volga measures convexity?

E

Expert

Verified

Because of Jensen’s Inequality, while volatility is stochastic the Vomma/Volga measures convexity because of random volatility and therefore gives you a concept of how much to add or subtract by an option’s value.

   Related Questions in Financial Management

©TutorsGlobe All rights reserved 2022-2023.