[this page | pdf | references | back links]
Returns the Speed, i.e. sensitivity of gamma to underlying,
of a European put option assuming that the (generalised) Black-Scholes (i.e.
Garman-Kohlhagen) pricing formula applies, i.e.:
See Black-Scholes option
pricing greeks for further details of notation and (other) option greeks.
Contents | Prev | Next
Interactively run function
Output type / Parameter details
Other Derivative pricing functions
Computation units used
Note: If you use any Nematrian web service either programmatically or interactively then you will be deemed to have agreed to the Nematrian website License Agreement