September 2012
Beginner
328 pages
7h 42m
English
Content preview from Key Financial Market Concepts, 2nd Edition
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The ‘Greeks’: Delta, Gamma, Vega, Theta and Rho
Definition
The delta (Δ) of an option is the change in the value of the option as a proportion of the change in the value of the underlying.
The gamma (Γ) of an option is the change in the value of the option’s delta as a proportion of the change in the value of the underlying.
The vega of an option is the change in the value of the option as a proportion of the change in volatility.
The theta (Θ) of an option is the change in the value of the option as a proportion of the change in time.
The rho (ρ) of an option is the change in the value of the option as a proportion of the change in the interest rate.
Each of these sensitivities assumes infinitesimally small changes and also assumes that other ...
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