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15 Cards in this Set

  • Front
  • Back
Delta
The sensitivity of an option's theoretical value to a change in the price of the underlying contract.
Gamma
The sensitivity of an option's delta to a change in the pirce of the underlying contract.
Rho
The sensitivity of an option's theoretical value to a change in interest rates.
Theta
The sensitivity of an option's theoretical value to a change in the amount of time remaining to expiration.
Vega (or sometimes Kappa)
The sensitivity of an option's theoretical value to a change in volatility.
Delta (call) formula in BSM
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Delta (put) formula in BSM
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D1 formula in BSM
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D2 formula in BSM
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Gamma Call and Put formula in BSM
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Rho (call) formula in BSM
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Rho (put) formula in BSM
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Theta (call) formula in BSM
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Theta (put) formula in BSM
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Vega Call and Put formula in BSM
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