Phi – Option Sensitivity to Dividend

I have a project to find a long term warrants sensitivity to changes in the dividend. It took me a good hour of searching to find that the name of the proper greek was Phi. After further searching I could not find anything else so I walked over to Borders (NYC is a convenient place!) and grabbed Espen Haug’s book. I finally found what I was looking for in Options Pricing Formulas:

Phi = -T*S*e^(b-r)T * N(d1)

b = Risk Free Rate – Dividend Yield

T = Time in Years

N is normal distribution

d1 is a big, long bunch of numbers I’m sure you can find anywhere

S = Strike price


~ by largecaptrader on December 4, 2009.

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