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danielhstahl / black_scholes_rust

Rust for black scholes
https://danielhstahl.github.io/black_scholes_rust/dev/bench/
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second + third order greeks #18

Open brandonros opened 1 year ago

brandonros commented 1 year ago 
greeks

first order

* Delta measures how option price will change if underlying price increases by $1.
* Theta measures how much an option's price will change in one day.
* Vega measures how option price will change if implied volatility rises by one percentage point.
* Rho measures how option premium will change if the risk-free interest rate increases by one percentage point.

second order

* Gamma measures how much delta will change if underlying price increases by $1.
* [Vanna](https://www.macroption.com/option-vanna/) = Also DvegaDspot or DdeltaDvol. Sensitivity of option price to small changes in [underlying price](https://www.macroption.com/underlying-price/) and [volatility](https://www.macroption.com/volatility/), sensitivity of [vega](https://www.macroption.com/option-vega/) to small changes in [underlying price](https://www.macroption.com/underlying-price/), or sensitivity of [delta](https://www.macroption.com/option-delta/) to small changes in [volatility](https://www.macroption.com/volatility/).
* [Vera](https://www.macroption.com/option-vera/) = Also rhova. Sensitivity of option price to small changes in [volatility](https://www.macroption.com/volatility/) and interest rates, sensitivity of [rho](https://www.macroption.com/option-rho/) to small changes in [volatility](https://www.macroption.com/volatility/), or sensitivity of [vega](https://www.macroption.com/option-vega/) to small changes in interest rates.
* [Veta](https://www.macroption.com/option-veta/) = Also vega decay or DvegaDtime. Sensitivity of option price to small changes in [volatility](https://www.macroption.com/volatility/) and passage of time, sensitivity of [vega](https://www.macroption.com/option-vega/) to passage of time, or sensitivity of [theta](https://www.macroption.com/option-theta/) to small changes in [volatility](https://www.macroption.com/volatility/).
* [Vomma](https://www.macroption.com/option-vomma/) = Also [vega](https://www.macroption.com/option-vega/) convexity, volga, or DvegaDvol. Sensitivity of vega to small changes in [volatility](https://www.macroption.com/volatility/).
* [Charm](https://www.macroption.com/option-charm/) = Also delta decay or DdeltaDtime. Sensitivity of option price to small changes in [underlying price](https://www.macroption.com/underlying-price/) and passage of time, sensitivity of [theta](https://www.macroption.com/option-theta/) to small changes in [underlying price](https://www.macroption.com/underlying-price/), or sensitivity of [delta](https://www.macroption.com/option-delta/) to passage of time.

third order

[Color](https://www.macroption.com/option-color/) = Also gamma decay or DgammaDtime. [Third order Greek](https://www.macroption.com/third-order-greeks/) which measures sensitivity of [gamma](https://www.macroption.com/option-gamma/) to passage of time (small changes in time to expiration).
[Speed](https://www.macroption.com/option-speed/) = Also DgammaDspot. [Third order Greek](https://www.macroption.com/third-order-greeks/) which measures sensitivity of [gamma](https://www.macroption.com/option-gamma/) to small changes in [underlying price](https://www.macroption.com/underlying-price/).
[Ultima](https://www.macroption.com/option-ultima/) = Also DvommaDvol. [Third order Greek](https://www.macroption.com/third-order-greeks/) which measures sensitivity of [vomma](https://www.macroption.com/option-vomma/) to small changes in [volatility](https://www.macroption.com/volatility/).