The delta of the portfolio. That is, the rate of change of the portfolio with respect to changes in the underlying asset.
Theta
The theta of the portfolio. That is, the rate of change of the portfolio with respect to changes in the time to maturity.
Gamma
The gamma of the portfolio. That is, the rate of change, of the rate of change (i.e. the 2nd derivative) of the portfolio with respect to changes in the underlying asset.
AssetPrice
The underlying asset price on which the portfolio depends.
RiskFreeRate
The continuously compounded risk free interest rate in the reference currency expressed in decimal format (i.e. 1 percent = 0.01).
Volatility
The volatility of the underlying asset price given in decimal format (i.e. 1 percent = 0.01).
Remarks
Example: This method could be applied to a portfolio consisting of derivative
contracts on Gold (i.e. AU).
In this case, if we know the delta, theta and gamma of the gold portfolio,
the market price and volatility of gold and the risk free
interest rate of the reference currency. Then we are able to estimate (to
the second order) the value of the entire portfolio with respect to the
reference currency.
Excel Remarks
The full name of this function inside Excel is Option_EuropeanEvaluation_TotalValue.