Greeks (finance)

In mathematical finance, the Greeks are the quantities (known in calculus as partial derivatives; first-order or higher) representing the sensitivity of the price of a derivative instrument such as an option to changes in one or more underlying parameters on which the value of an instrument or portfolio of financial instruments is dependent. The name is used because the most common of these sensitivities are denoted by Greek letters (as are some other finance measures). Collectively these have also been called the risk sensitivities,^[1] risk measures^[2]^: 742 or hedge parameters.^[3]

^ Banks, Erik; Siegel, Paul (2006). The options applications handbook: hedging and speculating techniques for professional investors. McGraw-Hill Professional. p. 263. ISBN 9780071453158.
^ Macmillan, Lawrence G. (1993). Options as a Strategic Investment (3rd ed.). New York Institute of Finance. ISBN 978-0-13-636002-5.
^ Chriss, Neil (1996). Black–Scholes and beyond: option pricing models. McGraw-Hill Professional. p. 308. ISBN 9780786310258.

[1] Banks, Erik; Siegel, Paul (2006). The options applications handbook: hedging and speculating techniques for professional investors. McGraw-Hill Professional. p. 263. ISBN 9780071453158.

[macmillan93-2] Macmillan, Lawrence G. (1993). Options as a Strategic Investment (3rd ed.). New York Institute of Finance. ISBN 978-0-13-636002-5.

[3] Chriss, Neil (1996). Black–Scholes and beyond: option pricing models. McGraw-Hill Professional. p. 308. ISBN 9780786310258.

[1]

[2]

[3]

Greeks (finance)

From Wikipedia, the free encyclopedia · View on Wikipedia