The Black-Scholes Formula : Greeks Flashcards
1
Q
What is the definition of Delta?
A
Variation in the option price per increase in the stock price.
2
Q
What is the definition of Gamma?
A
Variation in the delta per increase in the stock price.
3
Q
What is the definition of Vega?
A
Variation in the option price per percentage point change in the volatility.
4
Q
What is the definition of Theta?
A
Variation in the option price per decrease in time to expiry.
5
Q
What is the definition of Rho?
A
Variation in the option price per percentage point change in the risk-free rate.
6
Q
What is the definition of Psi?
A
Variation in the option price per percentage point change in the dividend yeld.
7
Q
What must be done to get Vega per day?
A
Divide by 365.
8
Q
What must be done to get Psi or Rho per percentage point?
A
Multiply by 0.01.
