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, indepth 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 fourdimensional 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, vegaconvexity, 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 simpletwodimensional 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, indepth 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.


Probabilities.

Form 
Electronic book

LC no. 
2015010828 
ISBN 
1119011639 (electronic bk.) 

1119011647 (electronic bk.) 

9781119011637 (electronic bk.) 

9781119011644 (electronic bk.) 

(hardback) 
