How to Calculate Options Prices and Their Greeks - Exploring the Black Scholes Model from Delta to Vega

How to Calculate Options Prices and Their Greeks - Exploring the Black Scholes Model from Delta to Vega
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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, andput 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. 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