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Summary Table Black-Scholes-Formulae
Summary Table Black-Scholes-Formulae
∂V
Delta e−r(T−t) N′ (d2 ) e−r(T−t) N′ (d2 )
∂S e−D(T−t) N(d1 ) e−D(T−t) (N(d1 ) − 1) √ − √
Sensitivity to underlying σS T − t σS T − t
∂ 2V
Gamma e−D(T−t) N′ (d1 ) e−D(T−t) N′ (d1 ) e−r(T−t) d1 N′ (d2 ) e−r(T−t) d1 N′ (d2 )
∂S2
Sensitivity of delta to
√ √ −
σS T − t σS T − t σ 2 S2 (T − t) σ 2 S2 (T − t)
underlying
∂V − √ − √ re−r(T−t) (1 − N(d2 ))
Theta 2 T −t 2 T −t 2
−r(T−t) N′ (d )
∂t
−e
d1 d1
Sensitivity to time
+DSN(d1 )e−D(T−t) −DSN(−d1 )e−D(T−t) r−D r−D
+e−r(T−t) N′ (d2 )
× − √ × − √
−rEe−r(T−t) N(d2 ) +rEe−r(T−t) N(−d2 ) 2(T − t) σ T −t 2(T − t) σ T −t
∂V
Rho (r)
−(T √− t)e−r(T−t) N(d2 ) − t)e−r(T−t) (1 − N(d2 ))
−(T √
∂r
e e
E(T − t)e−r(T−t) N(d2 ) −E(T − t)e−r(T−t) N(−d2 ) T − t −r(T−t) ′ T − t −r(T−t) ′
Sensitivity to interest rate N (d2 ) N (d2 )
σ σ
+ −
∂V √ √
Rho (D)
e e
T − t −r(T−t) ′ T − t −r(T−t) ′
∂D N (d2 ) N (d2 )
σ σ
−(T − t)Se−D(T−t) N(d1 ) (T − t)Se−D(T−t) N(−d1 ) −
Sensitivity to dividend yield
S 1 S 1
log log x
1 1
E 2 E 2 1
+ (r − D + σ 2 )(T − t) + (r − D − σ 2 )(T − t)
− ξ2 1 − x2
d1 = √ , d2 = √ = d1 − σ T − t, N(x) = √ e 2 dξ and N′ (x) = √ e 2
$
2π 2π
#
σ T −t σ T −t −∞