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The Greeks is derived from the Black-Scholes Theoretical Options Pricing Model (1973). The model is a form of an improved version of a previous model developed by A. James Boness in his Ph.D. thesis at the University of Chicago. Since then, the Black-Scholes Option Pricing Model has been the subject of much attention. The original work continued to be improved by other scholars; in 1973, Robert Merton improved the assumption of no dividends. In 1976, Jonathan Edwards "Jon" Ingersoll, Jr. went one step further and improved the assumption of no taxes or transaction costs. In 1976, Merton responded by removing the restriction of constant interest rates.
Black scholes model’s assumptions explained:
The First Assumption
Stock pays no dividends during the option contracts life (this assumption is imperfect because most companies pay dividends; a common way of adjusting the model for this situation is to subtract the discounted value of a future dividend from the stock price).
The Second Assumption
European exercise style used; meaning, an option can be exercised on the expiration date. The American exercise term allows the option to be exercised at any time during the options life, making American options more valuable due to their greater flexibility. This imperfection is negligible because option contracts are rarely exercised before the last few days of their life (a trader that wants to exercise will consider the time value).
The Third Assumption
Markets are efficient; the market operates in continuous time manner (neither start nor end of day trading, twenty-four hours a day seven days a week).
The Fourth Assumption
No commissions this can lead to a distortion to the model’s output because usually market participants do have to pay a commission buying and/or selling options contracts.
The Fifth Assumption
Interest rates remain constant until the end of the option’s life contract. In reality, U.S. Government Treasury Bills with 30 days left until maturity are usually used to represent the risk-free interest rate. Over the course of the option’s life (there are long-term options called LEAP® options that even trade for three years) interest rates change occasionally, therefore violating one of the assumptions of the model.
The Sixth Assumption
Statistically prices are lognormal distributed. This assumption suggests underlying stock prices are normally distributed.
As mentioned, the Greeks are derived from the Black-Scholes Options Pricing Model, which helps to calculate a fair market value of an option contract. Greeks are used to measure the risks of taking options contract positions.
There are five Greeks: delta, gamma, theta, vega, and rho.
Each Greek measures a different aspect of the risk in an option position, and corresponds to a parameter on which the value of an instrument is dependent.
Theta = the effects of passage of time.
Delta = the effect of changes in the underlying security price.
Gamma = the effect of changes in the underlying with respect to the rate of change of delta.
Vega = the effects of volatility.
Rho = the effects of interest rates.
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Fundamentals 
