Function greeks::gamma [] [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 option
  • x - The strike price of the option
  • t - time to expiration as a percentage of the year
  • r - continuously compounded risk-free interest rate
  • q - continuously compounded divident yield
  • sigma - volatility