On Derivations of Black-Scholes Greek Letters

Xisheng Yu, Xiaoke Xie


Each Greek letter of an option measures the sensitivity of an option price with respect to the change in the value of a given underlying parameter such as underlying asset’s price. This article provides simple derivations of often-used five Greek letters for European call and put options within the Balck-scholes model framework. Each proof of these Greek letters bypasses complicated mathematical calculations, it is relatively simple and easy to follow. Furthermore, some calculation examples for Greek letters have been given.

Keywords: Black-Scholes option pricing model, Call option, Put option, Greek letters

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ISSN (Paper)2222-1697 ISSN (Online)2222-2847

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