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Buying Calls 1. Right to buy a stock 2. A fixed price 3. During a specific Time period

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UNDERSTANDING GREEKS IN OPTION PRICING MODELPresented by:Surabhi KashyapSamrath GhoshNavraj Singh AnejaShikha GuptaASSIGNMENT 2FT154020FT153045FT151065FT153023Delta: Delta measures the change in the price of the option with every \$1 change in theunderlying asset. Delta value ranges from 1 to -1 and stands divided by a price change of 1 to 0for a call option and 0 to -1 for a put option.Gamma measure the rate of change of delta with a change in the underlying asset price. Thishelps forecast the change in delta and thus a consequent change in option prices. It indicates thebenefit to the option holder as a result in fluctuation of the price in the underlying stocks.Theta represents the sensitivity of the option price with respect to the time to maturity for theoption price assuming everything else is constant. Theta is usually negative as shorter the TTMtime to ma

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