The “Greek” Γ - Derivation & Graphs.

Define BS formulae and associated functions.

d1[S_,K_,r_,delta_,sigma_,T_,t_]:=(Log[S/K]+(r-delta+sigma^2/2)(T-t))/(sigma*Sqrt[T-t]);

d2[S_,K_,r_,delta_,sigma_,T_,t_]:=(Log[S/K]+(r-delta-sigma^2/2)(T-t))/(sigma*Sqrt[T-t]);

CNorm[d_]:=CDF[NormalDistribution[0,1],d];

VCall[S_,K_,r_,delta_,sigma_,T_,t_]:=S*Exp[-delta*(T-t)]*CNorm[d1[S,K,r,delta,sigma,T,t]]-K*Exp[-r*(T-t)]*CNorm[d2[S,K,r,delta,sigma,T,t]];

VPut[S_,K_,r_,delta_,sigma_,T_,t_]:=K*Exp[-r*(T-t)]*CNorm[-d2[S,K,r,delta,sigma,T,t]]-S*Exp[-delta*(T-t)]*CNorm[-d1[S,K,r,delta,sigma,T,t]];

The “Greek” Δ = ∂ V/∂ (Subscript[S, t]):

Compute and simplify the derivative for Δ:

K=.;
D[VCall[S,K,r,delta,sigma,T,t],{S,2}]

FullSimplify[D[VCall[S,K,r,delta,sigma,T,t],{S,2}]]

Define Function Representation For Γ ((Subscript[Γ, call])=(Subscript[Γ, put])):

GammaBS[S_,K_,r_,delta_,sigma_,T_,t_]:=((E^(delta (t-T)-(((((-delta+r+((sigma^2)/2)) (-t+T)+Log[(S/K)]))^2)/(2 (sigma^2) (-t+T)))))/((Sqrt[2 π]) S sigma (Sqrt[-t+T])));

Plot Δ Call Price For Various Strike Prices

Plot[{GammaBS[S,100,.05,.02,.1,1,0],GammaBS[S,90,.05,.02,.1,1,0],GammaBS[S,110,.05,.02,.1,1,0],GammaBS[S,120,.05,.02,.1,1,0],GammaBS[S,80,.05,.02,.1,1,0]},{S,60,160}, AxesLabel->{"(Subscript[S, t])","Γ"},PlotLabel->"Γ for call w/ various strike prices K when \nr = 5%, δ = 2%, σ = 10%, T=  1, and t = 0", PlotStyle->{{Red,Thick},{Blue,Thick},{Green,Thick},{Green,Thick,Dashed},{Blue,Thick,Dashed}}, PlotLegends->LineLegend[{Directive[Blue,Dashed,Thick],Directive[Blue,Thick],Directive[Red,Thick],Directive[Green,Thick],Directive[Green,Dashed]},{"K=80","K=90","K=100","K=110","K=120"},LegendFunction->"Frame"],GridLines->Automatic]

Plot Γ For Various Expiration Times

Plot[{GammaBS[S,100,.05,.02,.1,5,0],GammaBS[S,100,.05,.02,.1,2,0],GammaBS[S,100,.05,.02,.1,1,0],GammaBS[S,100,.05,.02,.1,1/2,0],GammaBS[S,100,.05,.02,.1,1/100,0]},{S,60,140}, PlotRange->All,AxesLabel->{"(Subscript[S, t])","Γ"},PlotLabel->"Γ for call w/ various times T when \nK=100, r = 5%, δ = 2%, σ = 10%, and t = 0", PlotStyle->{{Red,Thick},{Blue,Thick},{Green,Thick},{Green,Thick,Dashed},{Blue,Thick,Dashed}}, PlotLegends->LineLegend[{Directive[Red,Thick],Directive[Blue,Thick],Directive[Green,Thick],Directive[Green,Thick,Dashed],Directive[Blue,Thick,Dashed]},{"T=5","T=2","T=1","T=1/2","T=1/100"},LegendFunction->"Frame"],GridLines->Automatic]

Plot Call Γ For Various Volatilities

Plot[{GammaBS[S,100,.05,.02,.75,1,0],GammaBS[S,100,.05,.02,.5,1,0],GammaBS[S,100,.05,.02,.1,1,0],GammaBS[S,100,.05,.02,.05,1,0],GammaBS[S,100,.05,.02,.025,1,0]},{S,0,120}, AxesLabel->{"(Subscript[S, t])","Γ"},PlotRange->All,PlotLabel->"Γ w/ various volatilities σ when  \nK = 100, r = 5%, δ = 2%, T=  1, and t = 0", PlotStyle->{{Red,Thick},{Blue,Thick},{Green,Thick},{Green,Thick,Dashed},{Blue,Thick,Dashed}}, PlotLegends->LineLegend[{Directive[Red,Thick],Directive[Blue,Thick],Directive[Green,Thick],Directive[Green,Thick,Dashed],Directive[Blue,Thick,Dashed]},{"σ=0.75","σ=0.5","σ=0.1","σ=0.05","σ=0.025"},LegendFunction->"Frame"],GridLines->Automatic]

Plot Γ For Various Dividend Reinvestment Rates δ

Plot[{GammaBS[S,100,.05,.001,.25,1,0],GammaBS[S,100,.05,.01,.25,1,0],GammaBS[S,100,.05,.1,.25,1,0],GammaBS[S,100,.05,.2,.25,1,0],GammaBS[S,100,.05,.4,.25,1,0]},{S,60,180}, AxesLabel->{"(Subscript[S, t])","Γ"},PlotLabel->"Γ w/ various dividend rates δ when  \nS = 100, r = 5%, σ = 25%, T=  1, and t = 0", PlotStyle->{{Red,Thick},{Blue,Thick},{Green,Thick},{Green,Thick,Dashed},{Blue,Thick,Dashed}}, PlotLegends->LineLegend[{Directive[Red,Thick],Directive[Blue,Thick],Directive[Green,Thick],Directive[Green,Thick,Dashed],Directive[Blue,Thick,Dashed]},{"δ=0.001","δ=0.01","δ=0.1","δ=0.2","δ=0.4"},LegendFunction->"Frame"],GridLines->Automatic]

Surface Plot of Γ For Varying Stock and Strike Prices

Plot3D[GammaBS[S,K,.05,.02,.25,1,0],{S,0,80},{K,10,80}, AxesLabel->{"(Subscript[S, t])","K", "Γ"},PlotLabel->"Γ(S,K) when r = 5%, δ = 2%, σ = 0.75, T=  1, and t = 0", ColorFunction->Function[{x,y,z},Hue[0.65*(1-z)]],PlotRange->All,PlotPoints->50]

Contour Plot of Γ For Varying Stock and Strike Prices

Quiet[ContourPlot[GammaBS[S,K,.05,.02,.25,1,0],{S,0,50},{K,10,50}, Contours->50,FrameLabel->{"S","K"},PlotLabel->"Γ(S,K) when σ = 25%, r = 5%, δ = 2%, T=  1, and t = 0", PlotLegends->Automatic, ColorFunction->"TemperatureMap"]]

Quiet[ContourPlot[GammaBS[S,K,.05,.02,.25,1,0],{S,5,20},{K,0,20}, Contours->50,FrameLabel->{"S","K"},PlotLabel->"Γ(S,K) when σ = 25%, r = 5%, δ = 2%, T=  1, and t = 0", PlotLegends->Automatic, ColorFunction->"TemperatureMap"]]

Surface Plot of Γ For Varying Volatility and Strike Prices

Plot3D[GammaBS[100,K,.05,.02,sigma,1,0],{sigma,.05,.5},{K,80,130}, PlotPoints->45,AxesLabel->{"σ","K", "Γ(σ,K)"},PlotLabel->"Γ(σ,K) when S = 100, r = 5%, δ = 2%, T=  1, and t = 0", ColorFunction->Function[{x,y,z},Hue[0.65*(1-z)]],PlotRange->All]

Contour Plot of Γ For Varying Volatility and Strike Prices

Quiet[ContourPlot[GammaBS[100,K,.05,.02,sigma,1,0],{sigma,0.05,.2},{K,80,130}, Contours->45,FrameLabel->{"σ","K"},PlotLabel->"Γ(σ,K) when S = 100, r = 5%, δ = 2%, T=  1, and t = 0", PlotLegends->Automatic, ColorFunction->"TemperatureMap"]]