This is Argyn's blog. I comment on topics of my interests such as software, math, finance, and music. Also, I write about local events in Northern Virginia, USA and all things related to Kazakhstan

Monday, February 12, 2007


No, not those Greeks, but these Greeks. It's the partial derivatives of Black-Scholes formula for option pricing.

We have to write a paper in Options course, and the professor threw an idea for a topic: derive all Greeks and look at the sensitivity of option prices to input parameters. I searched Interenet, and surprisingly didn't find complete step by step derivation of all Greeks. Then I thought: who would derive them and post in Internet? Not a professor. There's nothing interesting there, just routine boring differentiation/simplification exercise, then one has to put in paper, then check everything...

Though I found one place where there's a sketch of derivation of three Greeks. So, I decided to do this myself from scratch. It took me entire Sunday to derive, check, re-check and put it on paper. The most time consuming part was to write the whole thing LaTex. I'm thinking about porting it to Wikipedia later, after grading :)

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