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View Full Version : Formulas for Greeks (other than Delta)

modog814
10-17-2008, 10:12 AM
Are these formulas anywhere on the formula sheet? I seem to recall that Carmody mentioned on the online seminar that they were on the formula sheet but I can only seem to find Delta and the relationship between delta, theta and Gamma.

Are they on the sheet at all or are these just something else I have to try and cram into my head?

Thanks.

TwinsFan1987
10-17-2008, 02:19 PM
Cram them in.

modog814
10-17-2008, 03:47 PM
Not what I wanted to hear, but thanks.

Will Durant
10-17-2008, 04:59 PM
I don't know that they are worth cramming. They are very easy to derive from the option pricing formula by taking the appropriate derivative.

The Smokin' Cracktuary
10-18-2008, 10:29 AM
I don't know that they are worth cramming. They are very easy to derive from the option pricing formula by taking the appropriate derivative.

That's BS. I want the easy way out.

Fik
10-18-2008, 01:20 PM
I can't believe there's no formula wrt these delta, theta, etc. on the formula sheet!!!

Genki
10-18-2008, 01:33 PM
That's BS. I want the easy way out.

What does Black Scholes have to do with the Greeks?

TwinsFan1987
10-18-2008, 01:36 PM
That's BS. I want the easy way out.
Well, if you really want the easy way out, stay a career ASA. That seems like quite an easy way out right now ;)

TwinsFan1987
10-18-2008, 01:38 PM
What does Black Scholes have to do with the Greeks?
Well, a lot of the formulae are given using the BS derivatives pricing.
How about for rho and vega (where BS assume volatility and interest is constant)? BS.

teastain
10-27-2008, 10:07 AM
Delta is sooooo easy to derive from the BS model..that u really don't need to memorize that at all. just take partial differential of S0 and u get it..N(D1) or -N(-D1)..