Equation: Generalized Black & Scholes option greeks

Generalized Black & Scholes option greeks

created by:

Thijs van den Berg (http://www.sitmo.com)

The equations are the greeks: delta, gamma, vega, theta, rho of the generalized Black and Scholes option model.

C	Call price
P	Put price
S	Present value of the underlying
Y	Yield of the underlying contract. Y=r for stock, Y=0 for futures
	Volatility of the underlying contract
r	Continuous compounded interest rate
T	Time till expiration
K	Strike (excercise) price
	Cumulative normal distribution function
	Normal density function
	Natural logarithm (base e)

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