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What is Dual Gamma?
Dual Gamma The second derivative of option price with respect to the strike price, or the rate of change of dual delta. Dual gamma provides information about the convexity of the option price as a function of the strike, useful for understanding the shape of the volatility smile.
Complete definition
The second derivative of option price with respect to the strike price, or the rate of change of dual delta. Dual gamma provides information about the convexity of the option price as a function of the strike, useful for understanding the shape of the volatility smile.
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