November 2013
Beginner
164 pages
3h 46m
English
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 (
, sensitivity to the underlying price), gamma (
, sensitivity of delta to the underlying price, delta of delta), theta (
, sensitivity to time), rho (, sensitivity to ...
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