Greeks
-
Delta:
it is the first derivative of the option with respect to the underlying
asset.
-
Gamma:
it is the second derivative of the option with respect to the underlying
asset.
-
Theta:
it is the derivative of the option with respect to the time. It is always
<0. The applet calculates the loss of value for a day (being other
variables constant).
-
Rho:
it is the derivative of the option with respect to the free-risk rate.
The applet calculates the difference of value for an interest rate variation
of 1%.
-
Vega:
It is the derivative of the option with respect to the volatility. The
applet calculates the difference of value for a volatility variation of
1%.