Meaning of DgammaDtime | Babel Free
Definitions
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.
Examples
“Figure 9 illustrates DgammaDtime of an option with respect to varying asset price and time to maturity.”
“The change in gamma with respect to small changes in time to maturity, DGammaDtime - also called GammaTheta or color (Garman, 1992) — is given by (assuming we get closer to maturity): […]”
“Colour (DgammaDtime, gamma bleed) (Fig. 137–145) characterizes the changing of Gamma as time changes: […]”
CEFR level
C1
Advanced
This word is part of the CEFR C1 vocabulary — advanced level.
This word is part of the CEFR C1 vocabulary — advanced level.
See also
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