In a Black&Scholes framework how can I compute the following sensitivities:
- to 1% move in the underlying price
- to 1% move in implied volatility
I would like the greeks to tell me how many dollars I lose/gain if the underlying/implied volatility moves by 1%. In particular, I would like to calculate the delta and gamma (to 1% move in underlying price) and vega and volga (to 1% move in implied volatility).
For the vanna I would like to consider a 1% move in both underlying and implied volatility.
Can you please suggest how to modify Black&Sholes greeks and also how to compute the sensitivities numerically?
A reference would also be very welcome. Thank you.