Symbol | Description |
---|---|
\(D\) | Dividend yield / interest rate |
\(E\) | Strike price |
\(r\) | Risk free rate |
\(S\) | Value of underlying asset |
\(T\) | Expiry date |
\(t\) | Current date |
\(V\) | Value of derivative |
\(\Delta\) | Delta \(= \frac{\partial V}{\partial S}\) |
\(\mu\) | Drift |
\(\sigma\) | Volatility |