Measure of the sensitivity of an option's price to the change in the price of its underlying contract. Denoted usually by the Greek letter omega or (sometimes) with the Greek letter lambda, it is computed as: (price of the underlying contract/theoretical value of the option) x delta. also called leverage value.
Related information about option elasticity:
- Option Elasticity and Option Volatility: Practice Problems and ...
Mar 21, 2008 ... Section 42 of The Actuary's Free Study Guide for Exam 3F / Exam MFE presents the concepts of option elasticity and option price volatility and 5 ...
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Definition of option elasticity: Measure of the sensitivity of an option's price to the change in the price of its underlying contract. Denoted usually by the Greek ...
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Option elasticity. The percentage increase in an option's value, given a 1 percentage point change in the value of the underlying security. Option Elasticity ...
- Option Elasticity - Definition of Option Elasticity - QFINANCE
Definition of option elasticity from QFinance - The Ultimate Financial Resource. What is option elasticity? Definitions and meanings of option elasticity.
- Option elasticity
Similar financial terms. Up-and-Out Option An option that ceases to exist when the price of the underlying asset increases to a set level. Up-and-In Option ...
- OPTION RISK
Thus the ratio of the call and stock volatilities is exactly the option elasticity. Remember that in synthesizing the call option we used the equations. ∆(1 + u)S + (1 ...
- CHAPTER 21: OPTION VALUATION
More. The option elasticity exceeds 1.0. In other words, the option is effectively a levered investment and the rate of return on the option will be more sensitive to ...
- WARM-UP QUIZ #2/ Option's elasticity is described by one of the ...
BNP Paribas Ace Manager wrote a note titled WARM-UP QUIZ #2/ Option's elasticity is described by one of the greeks. Which one? Read the full text here.