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The following paper gives a simple derivation of the BSM (via a simple integration approach instead of the classical PDE approach) and the Greeks plus some intuition for each: Derivation and Comparative Statics of the Black-Scholes Call and Put Option Pricing Formulas by Garven, J. You find the derivation of the Greeks in chapter 4 (called "comparative ...


First, my notation. $K$ is the strike price, $S$ is the stock price, $r$ is the continuously compounded risk-free rate, $T$ is time at expiration, $t$ is time at issue, $\sigma$ is volatility, $\delta$ is continuously compounded dividend rate. The Black-Scholes formula for a European call is $C = Se^{-\delta (T-t)} N(d_1) - Ke^{-r(T-t)} N(d_2)$ $d_1 = ...

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