Black & Scholes Formula

Integrale Normalverteilung

[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr1.gif]
[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr3.gif]

Call: e=exercise price, s=asset price, v=volatility, r=interest rate, t=matrurity time

[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr4.gif]
[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr5.gif]

Delta

[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr6.gif]
[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr7.gif]

Theta

[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr8.gif]
[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr9.gif]

Vega

[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr10.gif]
[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr11.gif]

Rho

[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr12.gif]
[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr13.gif]

Gamma

[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr14.gif]
[Graphics:BlackScholesgr2.gif][Graphics:BlackScholesgr15.gif]