Module 10Greeks & TreesLesson 4 of 726 min
Greeks: Delta & Vega
Analytic delta/vega and finite-difference checks.
Delta call
Δ = N(d1)
Vega
ν = S n(d1) √T (per 1.0 vol; trading often /100)
FD check
Central difference bump on S or σ.
Challenge
Add vega = S*n(d1)*sqrt(t) and FD-check by bumping sigma.
Tips
- Central diffs
- Bump size tradeoff
- Vega often quoted per 1%
Try it live
Greeks: Delta & VegaRust 2021
Loading editor…
Output
Press Run to compile and execute.