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Trading Option Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits by Dan Passarelli

Trading Option Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits Dan Passarelli ebook
ISBN: 9781118133163
Page: 368
Format: pdf
Publisher: Wiley

Feb 22, 2010 - In short, options can be used effectively for a number of different purposes, including the three primary ones we will address in this book which cover using them: (1) to speculate in the market for profit, (2) to earn income and . Nov 3, 2012 - We use our delta hedging model simulation to answer question around hedge re balancing frequency & profitability, interest rate changes & profitability, implied volatility and profitability. In this case however, the premium is not considered when determining the amount to be borrowed at option inception, i.e. The hedge is fully funded through borrowing. Oct 5, 2013 - Hopefully you will satisfied with Trading Option Greeks: How Time, Volatility, and Other Pricing Factors Drive Profit. Ability to not only purchase them, but create them, together with so many components such as "the greeks" "time decay" "implied volatility" and so many other factors, make the number of option trading strategies and applications almost limitless. This class, in keeping with the Black-Scholes assumptions above, takes a constant volatility (sigma) and rate (r) as input along with the underlying's price (S), the option's strike (K) and the option's time to maturity (t). Jul 30, 2013 - First, it is important to understand the basic assumptions of the Black-Scholes model, which I've taken from the excellent book, “Options, Futures and Other Derivatives”, by John Hull: The underlying asset price follows a . The BlackScholesCalculator class. Feb 28, 2014 - Delta, gamma, rho, vega, and theta are highly useful tools that correlate dimensions of risk in the price of an option to important factors such as the price of the underlying asset, interest rates, volatility, and time-to-maturity. Nov 2, 2011 - Trading Option Greeks: How Time, Volatility, and Other Pricing Factors Drive Profit Dan Passarelli.