Ursone How to Calculate Options Prices and Their Greeks

Exploring the Black Scholes Model from Delta to Vega
1. Auflage 2015
ISBN: 978-1-119-01163-7
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 224 Seiten, E-Book

Reihe: Wiley Finance

A unique, in-depth guide to options pricing and valuing theirgreeks, along with a four dimensional approach towards the impactof changing market circumstances on options
How 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
* 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.

Autoren/Hrsg.

Ursone, Pierino

Über Autor(innen)

PIERINO URSONE has extensive option trading experience. He began his career as a Market Maker with Optiver, an international market maker that trades on all of the world's major financial markets. Afterwards, Ursone ran his own option trading company on the Dutch options exchange in Amsterdam, and after nine years in equity options, he entered the Energy commodity market, trading options on a proprietary basis.