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Measuring Financial Risk: The Greeks

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The Greeks

 

 

This application calculates the Greeks for a European call or put option using the Black-Scholes model.

Details on The Greeks
 

Option Type

 

Parameters

Stock price

"So = "

Strike price

"K = "

Risk-free interest rate

"r = "

Dividend rate

"q = "

Time to maturity

"T = "

Volatility

"sigma = "
 

The Greeks

Option Price

Delta

"Delta = "

Vega

"nu= "

Theta

"Theta = "

Rho

"rho = "

Gamma

"GAMMA = "

``
 

 

 

 

 

``