In mathematical finance, the Greeks are the quantities (known in calculus as partial derivatives; first-order or higher) representing the sensitivity of the price of a derivative instrument such as an option to changes in one or more … 展开

The use of Greek letter names is presumably by extension from the common finance terms alpha and beta, and the use of sigma (the standard deviation of logarithmic returns) and tau (time to expiry) in the Black–Scholes option pricing model. … 展开

Speed
Speed measures the rate of change in Gamma with respect to changes in the underlying price. 展开

The Greeks of European options (calls and puts) under the Black–Scholes model are calculated as follows, where $${\displaystyle \varphi }$$ (phi) is the standard normal probability density function and $${\displaystyle \Phi }$$ is the standard … 展开

Delta
Delta, $${\displaystyle \Delta }$$, measures the rate of change of the theoretical option value … 展开

Gamma
Gamma, $${\displaystyle \Gamma }$$, measures the rate of change in the delta with respect to changes in the underlying price. Gamma is the second 展开

If the value of a derivative is dependent on two or more underlyings, its Greeks are extended to include the cross-effects between the underlyings. 展开