Definition Put delta-o e-r TM (d) > 0 gamma theta _w2fy ) exp(-di/2 2V2TI x/2)0 T F Our previous comments on hedging using the Greeks applies equally to options on forwards Derive all the formulas given in the Section 5 notes for the "Greeks" of calls and puts (a) In each case, derive the formula for the call option first; then derive the formula (b) Use the fact that N2, which follows by the Fundamental Theorem on a forward price. Make use of the following hints: for the put option by using put-call parity. se the fact that()which oows by the Fundamental Ineoren of Calculus from the definition N()e /du. (c) To derive the formulas for the delta and vega of a ca start by showing that FoN'(di)-KN'(d2). Definition Put delta-o e-r TM (d) > 0 gamma theta _w2fy ) exp(-di/2 2V2TI x/2)0 T F Our previous comments on hedging using the Greeks applies equally to options on forwards Derive all the formulas given in the Section 5 notes for the "Greeks" of calls and puts (a) In each case, derive the formula for the call option first; then derive the formula (b) Use the fact that N2, which follows by the Fundamental Theorem on a forward price. Make use of the following hints: for the put option by using put-call parity. se the fact that()which oows by the Fundamental Ineoren of Calculus from the definition N()e /du. (c) To derive the formulas for the delta and vega of a ca start by showing that FoN'(di)-KN'(d2)