cross vanna

noun

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

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Meanings

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

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

MLA

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

Chicago

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

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