Overview

kappa


Show Summary Details

Quick Reference

Sensitivity variable for measuring the price response of an option to changes in volatility. It is the change in the option price in relation to a (usually 1%) change in implied volatility (cf. tau; vega).

[...]

Subjects: Financial Institutions and Services.


Reference entries

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.