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Results tagged with greeks
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user 15180
Greeks are named quantities representing sensitivity of option price to change in underlying parameters. Use of [greeks] tag should relate to one more named quantities, such as delta or gamma.
6
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2
answers
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Why gamma and theta have opposite signs?
The explanation is, first write B-S equation in terms of greeks:
$\frac{\partial V}{\partial t}+rS\frac{\partial V}{\partial S}+\frac{1}{2}\sigma^2S^2\frac{\partial^2 V}{\partial S^2}=rV$
$\Theta+rS\ …
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