- Delta (Δ): The rate of change of the option price with respect to the change in the underlying stock price.
- Gamma (Γ): The rate of change of delta with respect to the change in the underlying stock price.
- Theta (Θ): The rate of change of the option price with respect to the passage of time.
- Vega (ν): The rate of change of the option price with respect to the change in the implied volatility of the underlying stock.
- Rho (ρ): The rate of change of the option price with respect to the change in the risk-free interest rate.

Formula |
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$C=SN\left({d}_{1}\right)-K{e}^{-rT}N\left({d}_{2}\right)$ |

where:${d}_{1}=\frac{\mathrm{ln}\left(\frac{S}{K}\right)+(r+\frac{{\sigma}^{2}}{2})T}{\sigma \sqrt{T}}$ |

${d}_{2}={d}_{1}-\sigma \sqrt{T}$ |

Greek | Formula |
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Delta (Δ) | $\Delta =N\left({d}_{1}\right)$ |

Gamma (Γ) | $\Gamma =\frac{N\text{'}\left({d}_{1}\right)}{S\sigma \sqrt{T}}$ |

Theta (Θ) | $\Theta =-\frac{SN\text{'}\left({d}_{1}\right)\sigma}{2\sqrt{T}}-rK{e}^{-rT}N\left({d}_{2}\right)$ |

Vega (ν) | $\nu =S\sqrt{T}N\text{'}\left({d}_{1}\right)$ |

Rho (ρ) | $\rho =KT{e}^{-rT}N\left({d}_{2}\right)$ |