ΘC= − ∂C
∂τ
=− Sσ
2 τ
N′( d 1 )−Ee−rτrN(d 2 )
ρC =
∂C
∂r
=τEe−r(τ+^1 )N(d 2 )
κC=
∂C
∂E
=−e−rτN(d 2 )
Les greeks pour le put :
ΔP=
∂P
∂S
= −N(−d 1 ) =N(d 1 )− 1
ΓP =
∂ΔP
∂S
=^1
Sσ τ
N′( d 1 )
υP =
∂P
∂σ
=S τN′( d 1 )
ΘP= − ∂P
∂τ
= − Sσ
2 τ
N′( d 1 )−Ee−rτr(N(d 2 )− (^1) )
ρP= =
∂P
∂r
=−τEe−r(τ+^1 )N(d 2 )
κP= ∂P
∂E
= e−rτ( 1 −N(d 2 ))