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Lambda

• The ratio of a change in the option price to a small change in the option volatility. It is the partial derivative of the option price with respect to the option volatility.

• Is an option term sometimes used as a synonym for vega, kappa, or sigma. See Vega.

 
 Embedded terms in definition
 Change
Derivative
Kappa
Option price
Option
Sigma
Vega
Volatility
 
 Referenced Terms
 Kappa: The ratio of the dollar price change in the price of an option to a 1% change in the expected price volatility.Is an option term sometimes used as a synonym for vega, Lambda or sigma. See Vega.

 Sigma: Is an option term sometimes used as a synonym for vega, Lambda or kappa. See Vega.

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