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5 Greeks and Corresponding Sensitivities

Submitted by GeorgeS on Tue, 03/23/2010 - 07:51

 

Greek              Measures option price sensitivity to changes in:

Delta               Underlier Price

Gamma            Underlier Price

Vega                Underlier Volatility

Theta               Time to Expiration

Rho                   Interest Rate

 

 

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