Option Greeks - Vanna
Calvin Lin
contributed
This wiki is incomplete.
The vanna of an option is the rate of change of delta with respect to volatility.
\[ \text{ Vanna} = \frac{ \partial \Delta } { \partial \sigma } = \frac{ \partial^2 V } { \partial \sigma \partial S } = \frac{ \partial \nu } { \partial S } \]
It is sometimes also known as "D Del V".
Contents
Vanna of option
Graph of Vanna
Cite as:
Option Greeks - Vanna .
Brilliant.org.
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