Lesson 25: Greeks Flashcards
1
Q
Define Delta
A
Increase in the option price per increase in stock price.
2
Q
Define Gamma
A
The increase in delta per increase in stock price
3
Q
Define Vega
A
Increase in the option price per percentage point increase in volatility.
4
Q
Define Theta
A
Increase in option price per decrease in time to expiry
5
Q
Define Rho
A
Increase in option price per increase in r, the continuously compounded risk-free return
6
Q
Define Psi
A
Increase in the option price per increase in the continuous dividend yield.
7
Q
Define elasticity
A
The percentage change in the value of an option as a function of the percentage change in the value of the underlying stock.
Omega equals prepaid forward price times probability of price change over the price of the call. Or delta *S over the price of the option.
