Formula Sheet

Call options
For a European option on a non-dividend stock call option can be written as:
−rτ
Ct =S t N ( d 1 )− Xe N ( d2)

St σ 2s

d 1=
ln ( )(
X
+ r+
2
τ )
σ s√τ

S    
2
ln  t    r  s  
X  2 
d2   d1  s 
s 

For a European call option on a non-dividend stock, delta can be shown as

  N(d1 )

For a European call option on a non-dividend stock, theta can be written as:

St  s
  N(d1 )  rX  e  r N(d 2 )
2 
For a European call option on a non-dividend stock, rho can be shown as

rho  X  e  r N(d 2 )

For a European call option on a non-dividend stock, vega can be shown as

  St   N  d1 

For a European call option on a non-dividend stock, gamma can be shown as

1
 N  d1 
St  s 
d12
∂ N ( d 1) 1 −
2
N ' ( d 1)= = e
∂ d1 √2π
For a European call option on a non-dividend stock, the sensitivity can be shown as

C t
 e  r N(d 2 )
X
Put Options
The price of put option on a non-dividend stock can be written as:

Pt  Xe r N  d 2   St N  d1 

St σ2

d 1=
ln ( )(
X
+ r+ s τ
2 )
σ s√τ

 St    s 
2
ln     r   
X  2 
d2   d1  s 
s 

τ =T −t
For a European put option on a non-dividend stock, delta can be shown as

  N(d1 )  1

For a European put option on a non-dividend stock, theta can be shown as

St s
  N(d1 )  rX  e  r N(d 2 )
2 

For a European put option on a non-dividend stock, vega can be shown as

  St   N  d1 

For a European put option on a non-dividend stock, rho can be shown as

rho   X  e  r N(d 2 )

For a European put option on a non-dividend stock, gamma can be shown as

1
 N  d1 
St  s 

For a European put option on a non-dividend stock, the sensitivity can be shown as

Pt
 e  r N( d 2 )
X

Whereas

N(-d2) =1-N(d2)