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Introduction to R for Quantitative Finance by Zsolt Tulassay, Dr. Kata Váradi, Péter Csóka, Michael Puhle, Márton Michaletzky, Gergely Daróczi, Dr. Edina Berlinger, Daniel Havran, Agnes Vidovics-Dancs

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Greeks

Understanding the risk-types that an option might involve is crucial for all market participants. The idea behind Greeks is to measure the different types of risks; they represent the sensitivity of the option to different factors. The Greeks of a plain vanilla option are: delta (Greeks, sensitivity to the underlying price), gamma (Greeks, sensitivity of delta to the underlying price, delta of delta), theta (Greeks, sensitivity to time), rho (, sensitivity to ...

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