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The Greeks

The Greeks!

The so called Greeks are designed to help you estimate the impact of a change in one of the input variables on the option value.

They are in essence the partial derivate of the option value with respect to the variable.

Although 0ne (Gamma) is the impact of a change in a change.

To measure the impact you multiple the change in the variable times the value for the:

Greek:

Delta

Gamma

Vega

Theta

Rho

Implication:

Is the impact on the option price of a change in the share price

(Delta is also known as the Hedge Ratio)

Is the impact on Delta of a price change in the share price

Is the impact on the option price for a change in the standard deviation

Is the impact on the option price for a small change in the time to maturity

Is the impact on the option price for a change in the risk free rate

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