vera

Meaning

Noun

• skin
• A second-order measure of derivative price sensitivity, expressed as the rate of change of vega with respect to changes in the risk-free interest rate, or equivalently the rate of change of rho with respect to changes in the volatility of the underlying asset.

Related

Similar words

• rhova

Broader meaning words

• Greeks

Origin

• From Vera Lynn.
• As vega, with the "g" substituted with a "r" to represent risk-free (interest rate).