noun ·Rare ·Advanced level

Definitions

Noun

1. 1
   A second-order measure of derivative price sensitivity, expressed as the rate of change of vega with respect to changes in the risk-free interest rate, or equivalently the rate of change of rho with respect to changes in the volatility of the underlying asset. uncountable

Synonyms

All synonyms

veravera

Etymology

rho + va(riance).

Related phrases

interest raterisk freesecond order

Data sourced from Wiktionary, WordNet, CMU, and other open linguistic databases. Updated March 2026.