# Black-Scholes-Merton Model & “Greek Risk”

Sensitivity Factor (“Greek”) | Input | Calls | Puts |
---|---|---|---|

Delta | Asset Price (δ) | Positively related Delta > 0 |
Negatively related Delta < 0 |

Vega | Volatility(σ) | Positively related Vega > 0 |
Positively related Vega > 0 |

Rho | Risk Free Rate (r) | Positively related Rho > 0 |
Negatively related Rho < 0 |

Theta | Time to Expiration (T) | Value -> $0 as call -> maturity Theta < 0 |
Value usually -> $0 as put -> maturity Theta < 0 |

Exercise Price (X) | Negatively | Positively |

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