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oBS( ) Model Greeks

The Greek formulas for the Black Scholes option pricing model are as follows:

Equation Template

S = spot price of the underlying asset.

X = exercise price (strike).

r = risk-free interest rate, expressed with continuous compounding.

vol = volatility of the relative price change of the underlying asset.

T = time to maturity measured in years (actual/365 basis).

N(.) = cumulative normal distribution of (.).

iPC = 1 for call / -1 for put.


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