Measuring Financial Risk: The Greeks - Maple Application Center
Application Center Applications Measuring Financial Risk: The Greeks

Measuring Financial Risk: The Greeks

Author
: Daniel Skoog
Engineering software solutions from Maplesoft
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In mathematical finance, The Greeks are measurements of risk that are used to represent the sensitivity of the price of a derivative to underlying variables, such as time-value decay and the implied volatility or price of the underlying asset.

This application calculates the Greeks for a European call or put option using the Black-Scholes model.

Application Details

Publish Date: November 01, 2017
Created In: Maple 18
Language: English

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