OPT.GAMMA
gamma of option (rate of change of delta) · a deepcalc original · no excel equivalent · no sheets equivalent
signature
OPT.GAMMA(S, K, T, r, sigma, [q])
returns: number
| argument | required |
|---|---|
| S | required |
| K | required |
| T | required |
| r | required |
| sigma | required |
| q | optional · defaults to 0 |
examples
formula and result, taken from the engine's own test suite — every result below is asserted in CI, not written by hand.
fx
=OPT.GAMMA(100, 100, 1, 0.05, 0.2, 0) 0.018762017345846895 related
- ASIAN.CALL Asian call on the geometric average of n_avg observations (exact closed form; approximates the arithmetic Asian)
- BARRIER.CALL barrier call option: type 1=down-and-out, 2=down-and-in, 3=up-and-out, 4=up-and-in (Hull ch. 26 formulas)
- BINOMIAL.AMERICAN.PUT binomial tree American put option price
- BINOMIAL.CALL binomial tree call option price
- BINOMIAL.PUT binomial tree put option price
- BS.CALL Black-Scholes call option price