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Author Ursone, Pierino, 1966-

Title How to calculate options prices and their greeks : exploring the black scholes model from delta to vega / Pierino Ursone
Edition 1
Published Hoboken : Wiley, 2015
Online access available from:
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Description 1 online resource
Contents 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
Summary "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 according to the Black Scholes model but also how to do thiswithout consulting a model. You'll build a solid understanding ofoptions and hedging strategies as you explore the concepts ofprobability, volatility, and put call parity, then move into moreadvanced topics in combination with a four-dimensional approach ofthe change of the P & L of an option portfolio in relation tostrike, underlying, volatility, and time to maturity. Thisinformative guide fully explains the distribution of first andsecond order Greeks along the whole range wherein an option hasoptionality, and delves into trading strategies, including spreads, straddles, strangles, butterflies, kurtosis, vega-convexity, andmore. Charts and tables illustrate how specific positions in aGreek evolve in relation to its parameters, and digital ancillariesallow you to see 3D representations using your own parameters andvolumes. The Black and Scholes model is the most widely used optionmodel, appreciated for its simplicity and ability to generate afair value for options pricing in all kinds of markets. This bookshows you the ins and outs of the model, giving you the practicalunderstanding you need for setting up and managing an optionstrategy. Understand the Greeks, and how they make or break a strategy. See how the Greeks change with time, volatility, and underlying. Explore various trading strategies[bullet] Implement options positions, and more. Representations of option payoffs are too often based on a simpletwo-dimensional approach consisting of P & L versus underlying atexpiry. This is misleading, as the Greeks can make a world ofdifference over the lifetime of a strategy. How to CalculateOptions Prices and Their Greeks is a comprehensive, in-depth guideto a thorough and more effective understanding of options, theirGreeks, and (hedging) option strategies"-- Provided by publisher
Notes Includes index
Print version record and CIP data provided by publisher
Subject Options (Finance) -- Statistical methods.
Form Electronic book
LC no. 2015010828
ISBN 1119011639 (electronic bk.)
1119011647 (electronic bk.)
9781119011637 (electronic bk.)
9781119011644 (electronic bk.)