BlackScholes Properties |
The BlackScholes type exposes the following members.
Properties| Name | Description | |
|---|---|---|
 | Charm | Charm, or delta decay, measures the instantaneous rate of change of delta over the passage of time. (Inherited from OptionValuation.) |
| Color | Color, or gamma decay, measures the rate of change of gamma over the passage of time. (Inherited from OptionValuation.) |
| Delta | Delta measures the rate of change of option value with respect to changes in the underlying asset's price. (Inherited from OptionValuation.) |
| Gamma | Gamma measures the rate of change in the delta with respect to changes in the underlying price. (Inherited from OptionValuation.) |
| OptionStyle | Option style. (Inherited from OptionValuation.) |
| OptionType | Type of option. (Inherited from OptionValuation.) |
| Rho | Rho, the derivative of the option value with respect to the risk free rate. (Inherited from OptionValuation.) |
| Speed | Speed measures the rate of change in Gamma with respect to changes in the underlying price. (Inherited from OptionValuation.) |
| StockPrice | Stock price of the underlying asset. (Inherited from OptionValuation.) |
| StrikePrice | Strike price of the underlying asset. (Inherited from OptionValuation.) |
| Theta | Theta measures the sensitivity of the value of the derivative to the passage of time: the "time decay". (Inherited from OptionValuation.) |
| TimeToMaturity | Time to the expiration date measured in years. (Inherited from OptionValuation.) |
| Value | Value of the option. (Inherited from OptionValuation.) |
| Vanna | Vanna, the second derivative of the option value with respect to the volatility. (Inherited from OptionValuation.) |
| Vega | Vega, the derivative of the option value with respect to the volatility of the underlying asset. (Inherited from OptionValuation.) |
| Volatility | Volatility of the underlying asset. (Inherited from OptionValuation.) |
| Zomma | Zomma measures the rate of change of gamma with respect to changes in volatility. (Inherited from OptionValuation.) |
See Also