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Unformatted text preview: v t,x 0 2K t T 0 x BlackScholes 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 ...
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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).
 Spring '08
 ALEXANDERSCHIED

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