Risk Management 

Option theta is one of the sensitivity parameters used in option theory to measure responsiveness of an option to change in time. Option theta is often represented by Greek symbol Θ. Option theta belongs to a group of option sensitivity parameters together called "Greeks".

Option vega, represented by Greek symbol ν (nu), is a mathematical tool used to capture the responsiveness of option value to changes in the volatility of option's underlying asset's value. In other words, option vega is option's sensitivity to fluctuations in the underlying asset price.

Option gamma, often expressed using the Greek letter Γ, is a mathematical tool used in the option theory to explain the relationship between the value of an option and the price of the underlying asset. Option gamma is the option's sensitivity to change in the sensitivity of the option value to changes in the underlying asset price.

The calculator below relates to the Black-Scholes model which is explained in detail on the Black-Scholes model page. You can use this calculator to find the value of a European call option using the Black-Scholes formula. This model is subject to assumptions discussed on the Black-Scholes model assumptions page.

The Black-Scholes Option Pricing Model is an approach used for calculating the value of a stock option. It can be used to calculate values of both call and put options. The Black-Scholes model is described in detail at this page: Black-Scholes model. This page provides an overview of assumptions underlying the Black-Scholes model.

The Black-Scholes model is a tool for pricing equity options. The Black-Scholes model, often also called using its full name Black-Scholes Option Pricing Model, is an approach for calculating the value of a stock option, let it be a call option or a put option.

Put-call parity is a financial relationship between the price of a put option and a call option. The put-call parity is a concept related to European call and put options. The put-call parity is an option pricing concept that requires the values of call and put options to be in equilibrium to prevent arbitrage.

A Synthetic Long Call strategy is a position where a long stock position is combined with a long put option. The purchase of a put option while still owning stocks is a strategy with a limited loss and (after subtracting the put premium) unlimited profit.

A Synthetic Long Put strategy is a position where a short stock position is combined with a long call option position.

Unlike the synthetic long call position, the synthetic long put strategy is a bearish strategy with limited risk. The investor expects the price of stocks to go down for a long time hoping to make profit on the decline, but he or she still wants to curtail the risk in case his expectation won't realize and the stocks go up. The investor would recoup the loss on the short stock from the long call in this case.

The delta of an option or simply the option delta is the sensitivity of an option price relative to changes in the price of the underlying asset. It is represented as the price change given a 1 point move in the underlying asset and is usually displayed as a decimal value.