Function greeks::gamma
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[src]
pub fn gamma(s0: f64, x: f64, t: f64, r: f64, q: f64, sigma: f64) -> f64
Calculates the Gamma for an option
Gamma measures the rate of change in the delta with respect to the change in the underlying price.
Arguments
s0
- The underlying price of the optionx
- The strike price of the optiont
- time to expiration as a percentage of the yearr
- continuously compounded risk-free interest rateq
- continuously compounded divident yieldsigma
- volatility