Greeks - v t,x 0 2K t T 0 x Black-Scholes price of a...

Info iconThis preview shows pages 1–7. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: v t,x 0 2K t T 0 x Black-Scholes price of a European call (ST - K)+ as a function of time t [0, T ] and spot St = x [0, 2K]. 1 1 t,x 0 2K t T 0 x The option's Delta, (t, x) = v(t, x) = N d+ x 2 t,x 0 2K t T 0 x The option's Gamma, N d+ (t, x) = (t, x) = v(t, x) = . x x2 x T - t 2 0 3 t,x 0 2K t T 0 x The option's Theta, x 0 -r(T -t) (t, x) = v(t, x) = - N d+ - Kr e N d- . t 2 T -t 4 t,x 0 2K t T 0 x The option's Rho, -r(T -t) %(x, t) = v(x, t) = K(T - t) e N d- . r 5 Vega t,x 0 t T 0 x 2K The option's Vega, 0 V(x, t) = v(x, t) = x T - t N d+ . 6 The functions , , , % und V are often called the Greeks of he option, even though "Vega" is not a Greek letter. Other Greeks are the V 2 Vanna = = = v(t, x) x x or the V 2 Volga = = v(t, x) 2 7 ...
View Full Document

This note was uploaded on 08/05/2008 for the course ORIE 569 taught by Professor Alexanderschied during the Spring '08 term at Cornell University (Engineering School).

Page1 / 7

Greeks - v t,x 0 2K t T 0 x Black-Scholes price of a...

This preview shows document pages 1 - 7. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online