DgammaDtime

English Etymology From the mathematical formula , the partial derivative of gamma (Γ) with respect to time (τ), pronounced as "D gamma (by) D time". Noun - en finance A third-order measure of derivative price sensitivity, expressed as the rate of change of gamma with respect to time, or equivalently the rate of change of charm with respect to changes in the underlying asset price. en 2006 The Best of Wilmott 2 Paul Wilmott 38 Figure 9 illustrates DgammaDtime of an option with respect to varying asset price and time to maturity. en 2007 The Complete Guide to Option Pricing Formulas Espen Gaarder Haug 49 The change in gamma with respect to small changes in time to maturity, DGammaDtime - also called GammaTheta or color (Garman, 1992) — is given by (assuming we get closer to maturity): en February 6, 2019 Researchgate The Sensitivities (Greeks) for somemodels of option pricing with market illiquidity Mikhail M. Dyshaev; Vladimir E. Fedorov Colour (DgammaDtime, gamma bleed) (Fig. 137–145) characterizes the changing of Gamma as time changes: Synonyms en color, en colour, en gamma decay Hypernyms measure of derivative price sensitivity en Greeks includes list of coordinate terms