DgammaDtime

Meaning

Noun

  • A third-order measure of derivative price sensitivity, expressed as the rate of change of gamma with respect to time, or equivalently the rate of change of charm with respect to changes in the underlying asset price.

Related

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Broader meaning words

Origin

  • From the mathematical formula \frac{\partial \Gamma}{\partial \tau}, the partial derivative of gamma (Γ) with respect to time (τ), pronounced as "D gamma (by) D time".

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