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Medium · options_pricing · Quant Researcher interview question · black_scholes, greeks, delta, gamma, vega, options_pricing
Delta, gamma, and vega are first- and second-order sensitivities of an option's price to changes in the underlying asset's price and volatility. These 'Greeks' are fundamental for risk management and hedging strategies in derivatives trading. Analytically calculating them using the Black-Scholes model provides a baseline for market-making and delta-hedging activities. Task Implement the function black_scholes_greeks(S, K, T, r, sigma) to calculate the delta, gamma, and vega for a European call