Serving the Quantitative Finance Community
Greek Nomenclature
We all know what Delta, Gamma, Vega, Rho, etc. mean. But what do you call (in either English or Greek) the sensitivity of an option to (a) dividend yield and (b) borrow fee?
Greek Nomenclature
Dividend yield - rho2 (if u like) or PhiBorrow fee - cost of funding? interest rate? Rho !!