Option Sensitivities
This module looks at some measures that help describe an option's sensitivity to the various factors that determine pricing. They are: Delta, Gamma, Theta, Vega, Rho and Psi — better known as the Greeks. This course replicates the content from module 6 of the course Options.
CPE Credits: 1
Program Details (NASBA) View
| Program Level | Intermediate |
| Prerequisites | This course has no prerequisites. |
| Advance Preparation | No advance preparation required. |
| Recent Revision Date | May 21, 2015 |
| Instructional Delivery Method | QAS Self Study |
| Field of Study | Specialized Knowledge and Applications |
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Duration : 1 hour
- Introducing the Greeks
- Delta
- Impact of moneyness on Delta
- Delta hedging
- Gamma
- impact of moneyness on Gamma
- Theta
- Vega
- Rho and Psi