Omega for a Call Option
(1) The third derivative of the option price with respect to the price of the underlying. The derivative of gamma with respect to underlying price. Also called Speed. (2) Currency risk of an option on an instrument denominated in a different currency. See Omega Risk (1), Quantity Adjusting Option (QUANTO) (1). (3) One of the less frequently used option sensitivities; specifically, the sensitivity of the percentage change in option value to the percentage change in the underlying price.
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