Cross Gamma

Discussion in 'Strategy Development' started by Paul_G, Feb 6, 2009.

  1. Paul_G

    Paul_G

    Hi guys,

    If I have a cross gamma report can you explain what it is and how its used.

    I'm assuming its some kind of gamma correlation with a portfolio with underlying instruments or something like that.
    It's much appreciated.

    Thanks in advance,
    Paul