Our Black-Scholes Model mini-series marches on today! As we continue to make our way through all of the Greeks, we find ourselvestoday. While gamma measures the rate of change of delta (and can help us ), today we dive into the math behind its being the second derivative of the BSM with respect to price. Frank, , joins the discussion today, and he offers up some tremendous insight regarding gamma’s connection to probabilities.
You can watch every part of the Black-Scholes series below: