※ 引述《borderland (夏日眠眠)》之铭言： : ※ 引述《Minoxidil (Minoxidil)》之铭言： : : 一个高阶的B-S sensitivity : : 这一类的有很多.... : 所以请您在更detail的解释一下好吗 : 到底是对哪一个因子进行微分或别的decomposition. I find the answer.. Carrying on from the definition of vega, we look at another hedging parameter; the volga. This gives us an even greater sensitivity assessm ent by showing the sensitivity in vega with respects to the option price. The vega is the change in option value with respects to the change in volatility of the underlying: Consequently, the option vega is the 2nd derivative of the option value with respects to the change in volatility: Which can be considered as "gamma-vega" of the option, but is more commonly just considered as volga or vomma. --

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