Gamma

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Gamma

The ratio of a change in the option delta to a small change in the price of the asset on which the option is written.

Gamma

A measure of how fast the delta changes. That is, gamma is a mathematical measurement of how fast the price of an option contract changes for each unit of change in the price of the underlying asset. The larger the gamma, the more volatile the option contract is. If an option is at the money or near the money, gamma is large, but if it is deep in or deep out of the money, gamma can become quite small. This is because when an option is near the money, a small change in the underlying asset's value can greatly change the level of demand for the contract. This is not the case for deep in and deep out of the money options.

gamma

The sensitivity of an option's delta to changes in the price of the underlying asset. The gamma of an option is greatest when an option is near the money (strike price close to market price of underlying asset) and near zero when an option is deep out of the money.
References in periodicals archive ?
Lead researcher and Curtin research fellow Dr Paul Hancock said that after studying an ultra-sensitive image of gamma-ray bursts with no afterglow, we can now say the theory was incorrect and our telescopes have not failed us.
Gamma-ray bursts are the most luminous explosions in the cosmos, thought to be triggered when the core of a massive star runs out of nuclear fuel, collapses under its own weight, and forms a black hole.
Near the tops of the storms, for the types of terrestrial gamma-ray flashes that can be seen from space, the radiation doses are equivalent to about 10 chest x-rays, or about the same radiation people would receive from natural background sources over the course of a year.
All in all, researchers will have a spacecraft capable of recording gamma-ray radiation over an energy range spanning seven orders of magnitude.
Now we can work to better understand how they manage this feat and determine if the process is common to all remnants where we see gamma-ray emission," said lead researcher Stefan Funk, an astrophysicist with the Kavli Institute for Particle Astrophysics and Cosmology at Stanford University in Calif.
The gamma-ray emission originated about 70 light-years away from the galaxy's central black hole.
Gamma-ray bursts in our Milky Way galaxy are indeed rare, but the scientists estimate that at least one nearby likely hit the Earth in the past billion years.
Kevork Abazajian, assistant professor, and Manoj Kaplinghat, associate professor, of the Department of Physics and Astronomy analyzed data collected between August 2008 and June 2012 from NASA's Fermi Gamma-ray Space Telescope orbiting Earth.
These observations offer the first direct connection between gamma-ray bursts and another class of objects," the team reports.
German time zone) on 26 July 2012, detecting its very first images of atmospheric particle cascades generated by cosmic gamma rays and by cosmic rays, marking the next big step in exploring the southern sky at gamma-ray energies.
Until that measurement is done, most astronomers still favor the presence of a black hole at the galactic center as the explanation for the gamma-rays.
Washington, Feb 17 (ANI): New images from NASA's Fermi Gamma-ray Space Telescope are helping astronomers take a step closer to understanding the source of cosmic rays, which are some of the universe's most energetic particles.