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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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put_vanna should be negative? #21

Closed brandonros closed 1 year ago

brandonros commented 1 year ago

https://www.thebalancemoney.com/vanna-explanation-of-the-options-greek-1031331

In options trading, vanna will be negative for put options and positive for call options.

danielhstahl commented 1 year ago

The link is wrong; https://en.wikipedia.org/wiki/Greeks_(finance)#Vanna

Vanna is the derivative of delta with respect to sigma. By put call parity, call_delta-1=put_delta. Taking the derivative of both sides with respect to sigma, call_delta_dsig=put_delta_dsig.