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Exploring Greeks – Gamma (Γ) and Theta (Θ) with Python

By Shailendra, FRM, CQF January 7, 2024Python Code

Relationship of Gamma (Γ) with different expiries import numpy as np import matplotlib.pyplot as plt from tabulate import tabulate from scipy.stats import norm # Function to calculate call gamma def…

Comprehensive Guide to Option Greeks: Insights and Applications

By Shailendra, FRM, CQF January 6, 2024Options

In mathematical finance, the Greeks serve as essential measures denoting the sensitivities or derivatives of a derivative instrument's price—like an option—to alterations in one or more underlying parameters. These parameters…