2 ms·
I don’t know how you could possibly reason about options without understanding delta, and gamma makes sense to me too since it’s just the derivative of delta as
by klodolph 6y ago
I don’t know how you could possibly reason about options without understanding delta, and gamma makes sense to me too since it’s just the derivative of delta as the underlying value changes.
- colejohnson66 6y agoAs a math person, I’ve never heard “gamma” to mean the derivative of a change (a delta). For example, I was always taught that speed is v=delta-x/delta-t (distance over time). I’ve never heard gamma to mean that.
- csmiller 6y agoReferring to https://en.wikipedia.org/wiki/Greeks_(finance)?wprov=sfti1 https://en.wikipedia.org/wiki/Greeks_(finance)?wprov=sfti1
- klodolph 6y agoSpeaking as a math major, gamma means, like, a million different things. It’s just a letter. There are only 26 latin letters, 24 greek letters, the capitals, and then a few oddities like blackboard bold, fraktur, cursive, etc. You run out pretty quickly and end up reusing letters. Just like pi means different things in different contexts. It might be a permutation, projection, a function which counts prime numbers, or it might be half the period of sin. I might write π(10) = 4, or π ≈ 3.14…, or for π in P, etc. I might say that π is the right inverse of ι, in other words π∘ι = id, and point to some digram with a bunch of arrows. Delta is not just “a change” in this context. It is specifically the rate of change of an option’s value with respect to the value of the underlying security. Just like pi, delta and gamma mean different things in different contexts.