The Black and Scholes Model:

Delta:

[Delta]
Delta is a measure of the sensitivity the calculated option value has to small changes in the share price.

Gamma:

[Gamma]
Gamma is a measure of the calculated delta's sensitivity to small changes in share price.

Theta:

[Theta]
Theta measures the calcualted option value's sensitivity to small changes in time till maturity.

Vega:

[Vega]
Vega measures the calculated option value's sensitivity to small changes in volatility.

Rho:

[Rho]
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