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  • Ultima

       时间:2018-04-25 23:28:31     浏览:94    评论:0    
    核心提示:The rate at which the vomma of an option will react to volatility in the underlying market. It is the third order derivative of the option value with respect to volatility, or the derivative of vomma with respect to the derivative of volatility.Ultima is
    The rate at which the vomma of an option will react to volatility in the underlying market. It is the third order derivative of the option value with respect to volatility, or the derivative of vomma with respect to the derivative of volatility.

    Ultima is part of the group of measures known as the "Greeks" which are used in options pricing.



    Ultima is useful to investors who are making options trades and take the vomma and vega into consideration, especially when implementing exotic options which may change format over the period of maturity. This metric is one of the inputs utilized in the Black-Scholes model.






     
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