Option Greeks - Vomma
Calvin Lin
contributed
This wiki is incomplete.
The vomma of an option is the rate of change of vega with respect to volatility.
\[ \text{Vomma} = \frac{ \partial \nu } { \partial \sigma} = \frac{ \partial^ 2 V } { \partial \sigma^2 }. \]
Graph of vomma
Cite as:
Option Greeks - Vomma.
Brilliant.org.
Retrieved from
https://brilliant.org/wiki/option-greeks-vomma-2/