Winter 2011

- Reviewing the definitions of the Greeks.
- Deriving a formula for delta for European call options.
- Deriving a formula for delta for European put options (via put-call parity and the result for calls)
- Positivity/negativity of Gamma, Vega, Theta and Rho, both for calls and puts. Not via analytic derivations, but by examining graphs produced by Matlab and seeing how they change when the parameters change
- Briefly discussing delta hedging for Black-Scholes-Merton prices and showing Matlab simulations of how the hedging error goes to zero as the frequency increases.