Higher Order Greeks
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Higher Order Greeks
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Author : Louis H. Ederington
language : en
Publisher:
Release Date : 2006
Higher Order Greeks written by Louis H. Ederington and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
We examine whether any second order derivatives other than gamma and any third order derivatives are important in explaining changes in the prices of Samp;P 500 futures options over one week holding periods. We find that while gamma is normally most important, several other higher order derivatives have considerable incremental explanatory power. Particularly important in accounting for option price changes are the derivatives of delta with respect to volatility and time-to-expiration, and the derivatives of gamma with respect to the asset price, and volatility. The first three are more important for away-from-the-money options, while the fourth is most important for at-the-money options. For shorter-term options, consideration of higher order derivatives reduces the mean absolute unexplained price change by 60% for at-the-money options and by at least 75% for away-from-the-money options. We find that in spite of its theoretical problems and inability to explain the cross-sectional option price pattern (the smile), the Black-Scholes model's Greeks accurately describe the time series option price changes once higher order Greeks are incorporated. We further find that making delta-gamma-vega neutral portfolios of Samp;P 500 options neutral in terms of these four higher order Greeks leads to a substantial reduction in the risk of an unhedged price change.
An Option Greeks Primer
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Author : Jawwad Farid
language : en
Publisher: Springer
Release Date : 2015-03-23
An Option Greeks Primer written by Jawwad Farid and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-23 with Business & Economics categories.
This book provides a hands-on, practical guide to understanding derivatives pricing. Aimed at the less quantitative practitioner, it provides a balanced account of options, Greeks and hedging techniques avoiding the complicated mathematics inherent to many texts, and with a focus on modelling, market practice and intuition.
How To Calculate Options Prices And Their Greeks
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Author : Pierino Ursone
language : en
Publisher: John Wiley & Sons
Release Date : 2015-04-13
How To Calculate Options Prices And Their Greeks written by Pierino Ursone and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-13 with Business & Economics categories.
A unique, in-depth guide to options pricing and valuing their greeks, along with a four dimensional approach towards the impact of changing market circumstances on options How to Calculate Options Prices and Their Greeks is the only book of its kind, showing you how to value options and the greeks according to the Black Scholes model but also how to do this without consulting a model. You'll build a solid understanding of options and hedging strategies as you explore the concepts of probability, volatility, and put call parity, then move into more advanced topics in combination with a four-dimensional approach of the change of the P&L of an option portfolio in relation to strike, underlying, volatility, and time to maturity. This informative guide fully explains the distribution of first and second order Greeks along the whole range wherein an option has optionality, and delves into trading strategies, including spreads, straddles, strangles, butterflies, kurtosis, vega-convexity , and more. Charts and tables illustrate how specific positions in a Greek evolve in relation to its parameters, and digital ancillaries allow you to see 3D representations using your own parameters and volumes. The Black and Scholes model is the most widely used option model, appreciated for its simplicity and ability to generate a fair value for options pricing in all kinds of markets. This book shows you the ins and outs of the model, giving you the practical understanding you need for setting up and managing an option strategy. • 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 • Implement options positions, and more Representations of option payoffs are too often based on a simple two-dimensional approach consisting of P&L versus underlying at expiry. This is misleading, as the Greeks can make a world of difference over the lifetime of a strategy. How to Calculate Options Prices and Their Greeks is a comprehensive, in-depth guide to a thorough and more effective understanding of options, their Greeks, and (hedging) option strategies.
Trading Options Greeks
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Author : Dan Passarelli
language : en
Publisher: John Wiley & Sons
Release Date : 2012-10-02
Trading Options Greeks written by Dan Passarelli and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-02 with Business & Economics categories.
A top options trader details a practical approach for pricing and trading options in any market condition The options market is always changing, and in order to keep up with it you need the greeks—delta, gamma, theta, vega, and rho—which are the best techniques for valuing options and executing trades regardless of market conditions. In the Second Edition of Trading Options Greeks, veteran options trader Dan Pasarelli puts these tools in perspective by offering fresh insights on option trading and valuation. An essential guide for both professional and aspiring traders, this book explains the greeks in a straightforward and accessible style. It skillfully shows how they can be used to facilitate trading strategies that seek to profit from volatility, time decay, or changes in interest rates. Along the way, it makes use of new charts and examples, and discusses how the proper application of the greeks can lead to more accurate pricing and trading as well as alert you to a range of other opportunities. Completely updated with new material Information on spreads, put-call parity and synthetic options, trading volatility, and advanced option trading is also included Explores how to exploit the dynamics of option pricing to improve your trading Having a comprehensive understanding of the greeks is essential to long-term options trading success. Trading Options Greeks, Second Edition shows you how to use the greeks to find better trades, effectively manage them, and ultimately, become more profitable.
The Greeks
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Author : Robin Sowerby
language : en
Publisher: Routledge
Release Date : 2014-11-20
The Greeks written by Robin Sowerby and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-20 with History categories.
The Greeks has provided a concise yet wide-ranging introduction to the culture of ancient Greece. In this new and expanded third edition the best-selling volume offers a lucid survey that covers all the key elements of ancient Greek civilization from the age of Homer to the Hellenistic period. It provides detailed discussions of the main trends in literature and drama, philosophy, art and architecture, with generous reference to original sources, and places ancient Greek culture firmly in its political, social and historical context. The new edition has expanded coverage of the post-Classical period with major expansions in the areas of Hellenistic history, literature and philosophy. More emphasis is placed on the Greek world as a whole, especially on Sparta, and the focus on social history has been increased. The Greeks is an indispensable introduction for all students of Classics, and an invaluable guide for students of other disciplines who require grounding in Greek civilization.
The Greeks And Hedging Explained
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Author : Peter Leoni
language : en
Publisher: Springer
Release Date : 2014-05-29
The Greeks And Hedging Explained written by Peter Leoni and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-29 with Business & Economics categories.
A practical guide to basic and intermediate hedging techniques for traders, structerers and risk management quants. This book fills a gap for a technical but not impenetrable guide to hedging options, and the 'Greek' (Theta, Vega, Rho and Lambda) -parameters that represent the sensitivity of derivatives prices.
The Greeks Of To Day
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Author : Charles Keating Tuckerman
language : en
Publisher:
Release Date : 1872
The Greeks Of To Day written by Charles Keating Tuckerman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1872 with Athens (Greece) categories.
Daily Life Of The Ancient Greeks
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Author : Robert Garland
language : en
Publisher: Bloomsbury Publishing USA
Release Date : 1998-08-27
Daily Life Of The Ancient Greeks written by Robert Garland and has been published by Bloomsbury Publishing USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-08-27 with History categories.
Ancient Greece comes alive in this recreation of the daily lives of ordinary people—men and women, children and the elderly, slaves and foreigners, rich and poor. Taking account of the most up-to-date discoveries, the author provides a wealth of information on such varied facets of Greek life as food and drink, dress, housing, literacy, juvenile delinquency, the plight of the elderly, the treatment of slaves, and much more. Readers can gain an in-depth understanding of what it was like to live in one of the greatest eras of human history. Garland provides answers to such questions as: What were the Ancient Greeks' attitudes toward foreigners? What was their life expectancy? How were women treated? Passages from ancient authors enhance the text of this indispensable reference work.
On Germans Other Greeks
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Author : Dennis J. Schmidt
language : en
Publisher: Indiana University Press
Release Date : 2001
On Germans Other Greeks written by Dennis J. Schmidt and has been published by Indiana University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Literary Criticism categories.
Tracing the efforts of philosophers to appropriate the issues opened up by tragedy as a literary form, Dennis Schmidt makes the argument that in the struggle to come to terms with the issues raised by tragedy, new and progressive avenues for addressing the questions of ethic life have come to the fore.
The Historical Antiquities Of The Greeks
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Author : Wilhelm Wachsmuth
language : en
Publisher:
Release Date : 1837
The Historical Antiquities Of The Greeks written by Wilhelm Wachsmuth and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1837 with Greece categories.