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Volatility Arbitrage

CALLSTRIKEPUT
PriceDeltaGammaVegaTheta1300ThetaVegaGammaDeltaPrice
1.3870.4260.0091.184-0.459-0.4231.1840.009-0.5742.316

written by ALON SELA - M.Sc. in Financial Math

Black-Scholes: Delta Derivation
Black-Scholes Dual Delta
Black Scholes: Gamma Derivation