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Option Greeks Based on Black-Scholes Option Pricing Model

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Option Greeks

This program contains option sensitivities (delta, gamma, vega, theta, and rho) formulas and source code. Option sensitivities are also know as the Greeks. They measures how sensitive the option price is toward changes in its parameters. All Greeks are available in user-defined VBA functions with mathematical formulas.

Option Greeks Based on Black-Scholes Option Pricing Model

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