gamma of the underlying spot price
Posted: June 19th, 2012, 7:24 pm
Hi,In reuters, it shows a value for "gamma hedge". When I look at the description, it says "it is the difference between the gamma of an option and gamma of the underlying spot price"What does it mean "gamma of the underlying spot price"? Is there any formula to calculate gamma of the underlying spot price? How can I practically use reuters gamma hedge value?Thanks in advance