Chapter 12: The Greeks Flashcards
1
Q
Delta, Δ
A
df/dS
The change of the derivative price with the share price.
2
Q
Gamma, Γ
A
d²f/dS²
The change of delta with the share price.
3
Q
Theta, θ
A
df/dt
The change of the derivative price with time.
4
Q
Vega, v
A
df/dσ
The change of the derivative price with volatility.
5
Q
Rho, ρ
A
df/dr
The change of the derivative price with the risk-free rate
6
Q
Lambda, λ
A
df/dq
The change of the derivative price with the dividend rate.
7
Q
Delta hedging
A
A portfolio for which
…. the weighted sum of the deltas of the individual assets
…. is equal to zero
is described as delta-hedged.
