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Black Scholes

Designer Black Scholes 00

The cube is used to calculate the main Greeks: Delta, Gamma, Vega, Theta, Ro at the current time.

Incoming sockets
  • Price of underlying asset - the price of the underlying asset.

  • Options - the list of options from the Derivative cube.

  • Maximum deviation - the maximum deviation.

Outgoing sockets
  • Result - the result of calculating the main Greeks: Delta, Gamma, Vega, Theta, Po at the current time.

Parameters
  • Black model - the flag, indicating whether values will be calculated according to the Black-Scholes model.

  • Value - can take the values of Delta, Gamma, Vega, Theta, Po and determines what value will be at the cube output.

See Also

Other Resources