EuropeanGamma Class

Evaluation of the Gamma of European options on equities, equity indexes and currencies in accordance with the classical Black-Scholes model.

For a list of all members of this type, see EuropeanGamma Members.

System.Object
   EuropeanGamma

Remarks

Recall that the Gamma of an option contract is the rate of change of the rate of change (i.e. the second derivative) of the option price with respect to changes of the underlying asset price.

Requirements

Namespace: Options

Assembly: WebCab.Options (in WebCab.Options.dll)

See Also

EuropeanGamma Members | Options Namespace