Formulas For Vanilla Option Greeks
See also: Black-ScholesThe Greeks of vanilla options (calls and puts) under the Black–Scholes model are calculated as follows, where (phi) is the standard normal probability density function and is the standard normal cumulative distribution function. Note that the gamma and vega formulas are the same for calls and puts.
For a given: Stock Price, Strike Price, Risk-Free Rate, Annual Dividend Yield, Time to Maturity, and Volatility ...
| Calls | Puts | |
|---|---|---|
| value | ||
| delta | ||
| vega | ||
| theta | ||
| rho | ||
| gamma | ||
| vanna | ||
| charm | ||
| speed | ||
| zomma | ||
| color | ||
| DvegaDtime | ||
| vomma | ||
| Ultima | ||
| dual delta | ||
| dual gamma | ||
where
Read more about this topic: Greeks (finance)
Famous quotes containing the words formulas, vanilla, option and/or greeks:
“It is sentimentalism to assume that the teaching of life can always be fitted to the child’s interests, just as it is empty formalism to force the child to parrot the formulas of adult society. Interests can be created and stimulated.”
—Jerome S. Bruner (20th century)
“If there be any man who thinks the ruin of a race of men a small matter, compared with the last decoration and completions of his own comfort,—who would not so much as part with his ice- cream, to save them from rapine and manacles, I think I must not hesitate to satisfy that man that also his cream and vanilla are safer and cheaper by placing the negro nation on a fair footing than by robbing them.”
—Ralph Waldo Emerson (1803–1882)
“Our passional nature not only lawfully may, but must, decide an option between propositions, whenever it is a genuine option that cannot by its nature be decided on intellectual grounds; for to say, under such circumstances, “Do not decide, but leave the question open,” is itself a passional decision—just like deciding yes or no—and is attended with the same risk of losing the truth.”
—William James (1842–1910)
“Strangers used to gather together at the cinema and sit together in the dark, like Ancient Greeks participating in the mysteries, dreaming the same dream in unison.”
—Angela Carter (1940–1992)