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GREEKS Definition & Legal Meaning

Definition & Citations:

RISK measures for DERIVATIVES that are used to determine the price sensitivity of contracts to changes in the UNDERLYING ASSET (DELTA, GAMMA), VOLATILITY (VEGA), passage of time (THETA), and INTEREST RATES (RHO). The greeks of individual contracts can be added to determine the sensitivities of an entire PORTFOLIO, allowing for efficient pricing and RISK MANAGEMENT. The general impact on the value of an option for a unit increase in the relevant variable is given as: Also known as OPTION SENSITIVITIES.


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