Greeks
model parameters in mathematical finance
gamma
the rate of change in the delta with respect to changes in the underlying price
rho
derivative of the option value with respect to the risk-free interest rate (for the relevant outstanding term)
delta
the rate of change of the theoretical option value with respect to changes in the underlying asset’s price
theta
the sensitivity of the value of the derivative to the passage of time
vanna
second-order derivative of the option value, once to the underlying spot price and once to volatility
vega
derivative of the option value with respect to the volatility of the underlying asset