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DerivativesHelperGamma Method

To calculate the option gamma.

Namespace:  StockSharp.Algo.Derivatives
Assembly:  StockSharp.Algo (in StockSharp.Algo.dll) Version: 4.4.16.0 (4.4.16)
Syntax
C#
public static decimal Gamma(
	decimal assetPrice,
	decimal deviation,
	double timeToExp,
	double d1
)

Parameters

assetPrice
Type: SystemDecimal
Underlying asset price.
deviation
Type: SystemDecimal
Standard deviation.
timeToExp
Type: SystemDouble
The option period before the expiration.
d1
Type: SystemDouble
The d1 parameter of the option fulfilment probability estimating.

Return Value

Type: Decimal
Option gamma.
See Also