{"product_id":"how-to-calculate-options-prices-and-their-greeks-9781119011620","title":"How to Calculate Options Prices and Their Greeks","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cp\u003e\u003cb\u003eA 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\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHow 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\u0026amp;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, veg\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Introduction 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 The Normal Probability Distribution 7\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStandard deviation in a financial market 8\u003c\/p\u003e \u003cp\u003eThe impact of volatility and time on the standard deviation 8\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Volatility 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe probability distribution of the value of a Future after one year of trading 11\u003c\/p\u003e \u003cp\u003eNormal distribution versus log-normal distribution 11\u003c\/p\u003e \u003cp\u003eCalculating the annualised volatility traditionally 15\u003c\/p\u003e \u003cp\u003eCalculating the annualised volatility without μ 17\u003c\/p\u003e \u003cp\u003eCalculating the annualised volatility applying the 16% rule 19\u003c\/p\u003e \u003cp\u003eVariation in trading days 20\u003c\/p\u003e \u003cp\u003eApproach towards intraday volatility 20\u003c\/p\u003e \u003cp\u003eHistorical versus implied volatility 23\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Put Call Parity 25\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSynthetically creating a Future long position, the reversal 29\u003c\/p\u003e \u003cp\u003eSynthetically creating a Future short position, the conversion 30\u003c\/p\u003e \u003cp\u003eSynthetic options 31\u003c\/p\u003e \u003cp\u003eCovered call writing 34\u003c\/p\u003e \u003cp\u003eShort note on interest rates 35\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Delta Δ 37\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChange of option value through the delta 38\u003c\/p\u003e \u003cp\u003eDynamic delta 40\u003c\/p\u003e \u003cp\u003eDelta at different maturities 41\u003c\/p\u003e \u003cp\u003eDelta at different volatilities 44\u003c\/p\u003e \u003cp\u003e20–80 Delta region 46\u003c\/p\u003e \u003cp\u003eDelta per strike 46\u003c\/p\u003e \u003cp\u003eDynamic delta hedging 47\u003c\/p\u003e \u003cp\u003eThe at the money delta 50\u003c\/p\u003e \u003cp\u003eDelta changes in time 53\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Pricing 55\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCalculating the at the money straddle using\u003c\/p\u003e \u003cp\u003eBlack and Scholes formula 57\u003c\/p\u003e \u003cp\u003eDetermining the value of an at the money straddle 59\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Delta II 61\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDetermining the boundaries of the delta 61\u003c\/p\u003e \u003cp\u003eValuation of the at the money delta 64\u003c\/p\u003e \u003cp\u003eDelta distribution in relation to the at the money straddle 65\u003c\/p\u003e \u003cp\u003eApplication of the delta approach, determining the delta of a call spread 68\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Gamma 71\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe aggregate gamma for a portfolio of options 73\u003c\/p\u003e \u003cp\u003eThe delta change of an option 75\u003c\/p\u003e \u003cp\u003eThe gamma is not a constant 76\u003c\/p\u003e \u003cp\u003eLong term gamma example 77\u003c\/p\u003e \u003cp\u003eShort term gamma example 77\u003c\/p\u003e \u003cp\u003eVery short term gamma example 78\u003c\/p\u003e \u003cp\u003eDetermining the boundaries of gamma 79\u003c\/p\u003e \u003cp\u003eDetermining the gamma value of an at the money straddle 80\u003c\/p\u003e \u003cp\u003eGamma in relation to time to maturity,\u003c\/p\u003e \u003cp\u003evolatility and the underlying level 82\u003c\/p\u003e \u003cp\u003ePractical example 85\u003c\/p\u003e \u003cp\u003eHedging the gamma 87\u003c\/p\u003e \u003cp\u003eDetermining the gamma of out of the money options 89\u003c\/p\u003e \u003cp\u003eDerivatives of the gamma 91\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Vega 93\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDifferent maturities will display different volatility regime changes 95\u003c\/p\u003e \u003cp\u003eDetermining the vega value of at the money options 96\u003c\/p\u003e \u003cp\u003eVega of at the money options compared to volatility 97\u003c\/p\u003e \u003cp\u003eVega of at the money options compared to time to maturity 99\u003c\/p\u003e \u003cp\u003eVega of at the money options compared to the underlying level 99\u003c\/p\u003e \u003cp\u003eVega on a 3-dimensional scale, vega vs maturity and vega vs volatility 101\u003c\/p\u003e \u003cp\u003eDetermining the boundaries of vega 102\u003c\/p\u003e \u003cp\u003eComparing the boundaries of vega with the boundaries of gamma 104\u003c\/p\u003e \u003cp\u003eDetermining vega values of out of the money options 105\u003c\/p\u003e \u003cp\u003eDerivatives of the vega 108\u003c\/p\u003e \u003cp\u003eVomma 108\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Theta 111\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA practical example 112\u003c\/p\u003e \u003cp\u003eTheta in relation to volatility 114\u003c\/p\u003e \u003cp\u003eTheta in relation to time to maturity 115\u003c\/p\u003e \u003cp\u003eTheta of at the money options in relation to the underlying level 117\u003c\/p\u003e \u003cp\u003eDetermining the boundaries of theta 118\u003c\/p\u003e \u003cp\u003eThe gamma theta relationship α 120\u003c\/p\u003e \u003cp\u003eTheta on a 3-dimensional scale, theta vs maturity and theta vs volatility 125\u003c\/p\u003e \u003cp\u003eDetermining the theta value of an at the money straddle 126\u003c\/p\u003e \u003cp\u003eDetermining theta values of out of the money options 127\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Skew 129\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eVolatility smiles with different times to maturity 131\u003c\/p\u003e \u003cp\u003eSticky at the money volatility 133\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Spreads 135\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCall spread (horizontal) 135\u003c\/p\u003e \u003cp\u003ePut spread (horizontal) 137\u003c\/p\u003e \u003cp\u003eBoxes 138\u003c\/p\u003e \u003cp\u003eApplying boxes in the real market 139\u003c\/p\u003e \u003cp\u003eThe Greeks for horizontal spreads 140\u003c\/p\u003e \u003cp\u003eTime spread 146\u003c\/p\u003e \u003cp\u003eApproximation of the value of at the money spreads 148\u003c\/p\u003e \u003cp\u003eRatio spread 149\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Butterfly 155\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePut call parity 158\u003c\/p\u003e \u003cp\u003eDistribution of the butterfly 159\u003c\/p\u003e \u003cp\u003eBoundaries of the butterfly 161\u003c\/p\u003e \u003cp\u003eMethod for estimating at the money butterfly values 163\u003c\/p\u003e \u003cp\u003eEstimating out of the money butterfly values 164\u003c\/p\u003e \u003cp\u003eButterfly in relation to volatility 165\u003c\/p\u003e \u003cp\u003eButterfly in relation to time to maturity 166\u003c\/p\u003e \u003cp\u003eButterfly as a strategic play 166\u003c\/p\u003e \u003cp\u003eThe Greeks of a butterfly 167\u003c\/p\u003e \u003cp\u003eStraddle–strangle or the “Iron fly” 171\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Strategies 173\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCall 173\u003c\/p\u003e \u003cp\u003ePut 174\u003c\/p\u003e \u003cp\u003eCall spread 175\u003c\/p\u003e \u003cp\u003eRatio spread 176\u003c\/p\u003e \u003cp\u003eStraddle 177\u003c\/p\u003e \u003cp\u003eStrangle 178\u003c\/p\u003e \u003cp\u003eCollar (risk reversal, fence) 178\u003c\/p\u003e \u003cp\u003eGamma portfolio 179\u003c\/p\u003e \u003cp\u003eGamma hedging strategies based on Monte Carlo scenarios 180\u003c\/p\u003e \u003cp\u003eSetting up a gamma position on the back of prevailing kurtosis in the market 190\u003c\/p\u003e \u003cp\u003eExcess kurtosis 191\u003c\/p\u003e \u003cp\u003eBenefitting from a platykurtic environment 192\u003c\/p\u003e \u003cp\u003eThe mesokurtic market 193\u003c\/p\u003e \u003cp\u003eThe leptokurtic market 193\u003c\/p\u003e \u003cp\u003eTransition from a platykurtic environment towards a leptokurtic environment 194\u003c\/p\u003e \u003cp\u003eWrong hedging strategy: Killergamma 195\u003c\/p\u003e \u003cp\u003eVega convexity\/Vomma 196\u003c\/p\u003e \u003cp\u003eVega convexity in relation to time\/Veta 202\u003c\/p\u003e \u003cp\u003eIndex 205\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default 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