Gamma is the rate of change in the value of the option portfolio with respect to the delta, i.e.,
Γ
∆
=
δ
δ
C
Vega is the rate of change in the value of the option portfolio with respect to the volatility of the underly-
ing asset, i.e.,
Λ=
δ
δσ
C
eta refers to the rate of change in the value of the option portfolio with respect to the time to
maturity, i.e.,
Θ=
δ
δ
C
T
Rho refers to the rate of change in the value of the option portfolio with respect to the risk-free interest
rate, i.e.,
ρ
δ
δ
=
C
r
18.4 Delta
e delta of an option is dened as the rate of change in option price with respect to the price of t
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