How to calculate options prices and their greeks exploring the black scholes model from delta to vega
"A unique, in-depth guide to options pricing and valuing theirgreeks, along with a four dimensional approach towards the impactof changing market circumstances on optionsHow to Calculate Options Prices and Their Greeks is the onlybook of its kind, showing you how to value options and thegreeks...
| Otros Autores: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Chichester, England :
Wiley
2015.
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| Edición: | 1 |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628955406719 |
Tabla de Contenidos:
- Cover; Title Page; Copyright; Contents; Preface; Chapter 1 Introduction; Chapter 2 The Normal Probability Distribution; Standard Deviation in a Financial Market; The Impact of Volatility and Time on the Standard Deviation; Chapter 3 Volatility; The Probability Distribution of the Value of a Future After One Year of Trading; Normal Distribution Versus Log-Normal Distribution; Calculating the Annualised Volatility Traditionally; Calculating the Annualised Volatility Without μ; Calculating the Annualised Volatility Applying the 16% Rule; Variation in Trading Days
- Approach Towards Intraday VolatilityHistorical Versus Implied Volatility; Chapter 4 Put Call Parity; Synthetically Creating a Future Long Position, the Reversal; Synthetically Creating a Future Short Position, the Conversion; Synthetic Options; Covered Call Writing; Short Note on Interest Rates; Chapter 5 Delta Δ; Change of Option Value Through the Delta; Dynamic Delta; Delta at Different Maturities; Delta at Different Volatilities; 20-80 Delta Region; Delta Per Strike; Dynamic Delta Hedging; The at the Money Delta; Delta Changes in Time; Chapter 6 Pricing
- Calculating the at the Money Straddle Using Black and Scholes FormulaDetermining the Value of an at the Money Straddle; Chapter 7 Delta II; Determining the Boundaries of the Delta; Valuation of the at the Money Delta; Delta Distribution in Relation to the at the Money Straddle; Application of the Delta Approach, Determining the Delta of a Call Spread; Chapter 8 Gamma; The Aggregate Gamma for a Portfolio of Options; The Delta Change of an Option; The Gamma is Not a Constant; Long Term Gamma Example; Short Term Gamma Example; Very Short Term Gamma Example; Determining the Boundaries of Gamma
- Determining the Gamma Value of an at the Money StraddleGamma in Relation to Time to Maturity, Volatility and the Underlying Level; Practical Example; Hedging the Gamma; Determining the Gamma of Out of the Money Options; Derivatives of the Gamma; Chapter 9 Vega; Different Maturities Will Display Different Volatility Regime Changes; Determining the Vega Value of at the Money Options; Vega of at the Money Options Compared to Volatility; Vega of at the Money Options Compared to Time to Maturity; Vega of at the Money Options Compared to the Underlying Level
- Vega on a 3-Dimensional Scale, Vega Vs Maturity and Vega Vs VolatilityDetermining the Boundaries of Vega; Comparing the Boundaries of Vega With the Boundaries of Gamma; Determining Vega Values of Out of the Money Options; Derivatives of the Vega; Vomma; Chapter 10 Theta; A Practical Example; Theta in Relation to Volatility; Theta in Relation to Time to Maturity; Theta of at the Money Options in Relation to the Underlying Level; Determining the Boundaries of Theta; The Gamma Theta Relationship α; Theta on a 3-Dimensional Scale, Theta Vs Maturity and Theta Vs Volatility
- Determining the Theta Value of an at the Money Straddle
