cross gamma

noun

A measure of derivative price sensitivity, expressed as the rate of change of delta in one underlying asset with respect to the asset price of another underlying asset in a multi-asset option.

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Meanings

nouncross gamma (uncountable)
  1. uncountablebusinessA measure of derivative price sensitivity, expressed as the rate of change of delta in one underlying asset with respect to the asset price of another underlying asset in a multi-asset option.
Cite this entry
APA

cross gamma. (n.d.). In WatkinsX Dictionary. Retrieved November 4, 2026, from https://dictionary.watkinsx.com/word/cross%20gamma

MLA

“cross gamma.” WatkinsX Dictionary, https://dictionary.watkinsx.com/word/cross%20gamma. Accessed November 4, 2026.

Chicago

WatkinsX Dictionary, s.v. “cross gamma,” accessed November 4, 2026, https://dictionary.watkinsx.com/word/cross%20gamma.

Source: cross gamma on Wiktionary, CC BY-SA 4.0.