Beruflich Dokumente
Kultur Dokumente
c
S
Gamma: It measures the sensitivity of the delta of the portfolio to changes in the price of underlying. It is a
seconder order sensitivity.
2
2
S = 𝜕Δ
𝜕𝑆
Vega: It measures the sensitivity of the value of portfolio to changes in the volatility of the underlying.
Theta: It measures the sensitivity of the value of portfolio to changes in time. It can also be referred to as the
time decay on the value of an option.
𝜕Π
𝜃= 𝜕𝑇
Rho: It measures the sensitivity of the value of portfolio to the interest rate.
r