Delta (δ) | is the option's sensitivity to small movements in the underlying asset price |

Gamma (γ) | is the delta's sensitivity to small movements in the underlying asset price Gamma is identical for call and put options |

Theta (θ) | is the option's sensitivity to a small change in time to maturity. As time to maturity decreases, it is normal to express the theta as minus the partial derivative with respect to time |

Vega | is the option's sensitivity to small movements in the volatility(sigma) of the underlying asset Vega is identical for call and put options (Vega is a star by the way!) |

Rho (ρ) | is the option's sensitivity to a small change in the risk-free interest rate |

Sigma (σ) | is the option's volatility |

The Java Applet Calculator on this page requires american price style (cents)

That is it works for GBP(1)-USD(1.5) but not for CHF(2)-GBP(1)

Further the European Model is Black-Scholes (1973)

Rather than Garman-Kohlhagen (1983)

Finally the American Binomial Iteration is at best heavy handed

Between "applet" "object" "sun java6" "sun java7" "windows 8 pro" and "visual studio 2012" jar and class files are not always loading

The binomial calculations for**rho** ( ρ ) **theta** ( θ ) **gamma** ( γ ) and **vega** are not correct.

It is better to see the Option Folder Section and in particular Complete Binomial Model

That is it works for GBP(1)-USD(1.5) but not for CHF(2)-GBP(1)

Further the European Model is Black-Scholes (1973)

Rather than Garman-Kohlhagen (1983)

Finally the American Binomial Iteration is at best heavy handed

Between "applet" "object" "sun java6" "sun java7" "windows 8 pro" and "visual studio 2012" jar and class files are not always loading

The binomial calculations for

It is better to see the Option Folder Section and in particular Complete Binomial Model