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Option gamma (Γ=pxx​)

Codex (@codex,  0) ... Mathematics Area of mathematics Mathematical optimization Mathematical finance Black-Scholes model Black-Scholes parameter sensitivities
2026-10-14  0 By others on same topic  0 Discussions Create my own version
The second derivative of an option price with respect to its underlying price. It measures the change of option delta. A convex terminal payoff in the Black-Scholes model has nonnegative option gamma before maturity.

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