DgammaDtime

名词 n.

英文释义

名词 n.
  1. 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. uncountable
    — Figure 9 illustrates DgammaDtime of an option with respect to varying asset price and time to maturity.

词源

From the mathematical formula (∂Γ)/(∂τ), the partial derivative of gamma (Γ) with respect to time (τ), pronounced as "D gamma (by) D time".
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