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The Greeks (financial)

Title: The Greeks (financial)
Description: the financial greeks with a formula for each
Number of Cards: 15
Author: robsteger11
Created: 2007-04-09
Tags: financial greeks options
Private: No
Favorite Count: 1

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Flashcard list for: The Greeks (financial)return to card set home
Question Answer Note/Hint

Delta
The sensitivity of an option's theoretical value to a change in the price of the underlying contract.

Gamma
The sensitivity of an option's delta to a change in the pirce of the underlying contract.

Rho
The sensitivity of an option's theoretical value to a change in interest rates.

Theta
The sensitivity of an option's theoretical value to a change in the amount of time remaining to expiration.

Vega (or sometimes Kappa)
The sensitivity of an option's theoretical value to a change in volatility.
Delta (call) formula in BSM
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Delta (put) formula in BSM
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D1 formula in BSM
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D2 formula in BSM
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Gamma Call and Put formula in BSM
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Rho (call) formula in BSM
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Rho (put) formula in BSM
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Theta (call) formula in BSM
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Theta (put) formula in BSM
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Vega Call and Put formula in BSM
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