The Greek Letters: Rho, Vega, Theta, Delta, and Gamma

CFA Level II
#1

I have recently written two posts related to the Greek letters for those interest. The first one is related to CFA level II and titled:

Option Pricing in Continuous Time: Black-Scholes Model and The Greeks

You can find it here: http://cfatutor.me/2013/07/23/option-pricing-in-continuous-time-black-scholes-model-and-the-greeks/

The second one includes extra knoweldge for those interested in going beyond what the CFA books includes and shows how these greek letters are derived under a reading titled:

The Final Chapter in Black-Scholes World: How to derive the Greeks?

http://cfatutor.me/2013/07/26/the-final-chapter-in-black-scholes-world-how-to-derive-the-greeks/

Finally, I provide you here with an excel sheet (macro enabled) to help you examine the effects of greeks on option prices:

http://cfatutor.files.wordpress.com/2013/07/blackscholes-greeks.xlsm

#2

Vega is not a Greek letter.

Alpha, beta, gamma, delta, epsilon, zeta, eta, theta, iota, kappa, lambda, mu, nu, xi, omicron, pi, rho, sigma, tau, upsilon, phi, chi, psi, and omega are; vega isn’t.

#3

Yeah S2000magician it is not but the whole collection of measures are called the greek letters for options

#4

Very intersting reading Omar, thanks for sharing

#5

They’re called ‘Greeks’; not sure if they’re called ‘Greek Letters’.

#6

No: they’re called the _ Greeks _, not the Greek _ letters _.

#7

+1

#8

And I called them the greeks in the original title - sorry for the typo here … didnt think it was that much big of a deal :slight_smile:

#9

Whatever whatever. From what I have heard, the Greeks liked to insert things into other things, so inserting Vega into the Greek alphabet is only “fitting”. Remember Gerald Fitzpatrick and Patrick Fitzgerald?

#10

I also don’t think it’s that big a deal, but the title said (and still says) “Greek Letters”

#11

He is probably referring to the title there on his website.

#12

+1 :slight_smile:

#13

Geez omar…what’s difficult about admitting that you weren’t as knowledgeable as you thought… You’re right, it isn’t a ‘big’ deal, but i appreciate it when people, like s2000, clarify things for others.

#14

Samuelleee330 … I don’t honestly think I need to admit anything LOL check original title in both readings on website :slight_smile: and honestly …

http://www.youtube.com/watch?v=bFEoMO0pc7k