Chapter 2: FAQs 115
price might be accompanied by an increase in volatility.
So one can measure sensitivity as both the underlying
and volatility move together. This is called a shadow
greek and is just like the concept of a total derivative
in, for example, fluid mechanics where one might follow
the path of a fluid particle.References and Further Reading
Taleb, NN 1997Dynamic Hedging. John Wiley & Sons
Wilmott, P 2001Paul Wilmott Introduces Quantitative Finance.
John Wiley & Sons