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Strategies & Market Trends : Black and Scholes Options Evaluation
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To: Uri Miller who wrote (31)1/29/1997 9:00:00 AM
From: Harold Lanier   of 44
 
Uri,
What a report! Hope this was a school project or something.

Gamma is change in Delta for a one unit change in price.

Theta is change in Option Value per one day change.

Vega is change in Option Value per 1% move in Volatility.

Volatility is based on the standard deviation of the "changes in prices" not the prices themselves. A stock that goes up $1 each and every day would have no volatility, the same as that of a stock that trades at exactly the same price every day.

Harold
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