Option Greeks .edu
1 Introduction
Option Greeks
1 Introduction
Option Greeks
Set-up
? Assignment: Read Section 12.3 from McDonald. ? We want to look at the option prices dynamically. ? Question: What happens with the option price if one of the inputs
(parameters) changes? ? First, we give names to these effects of perturbations of parameters
to the option price. Then, we can see what happens in the contexts of the pricing models we use.
Set-up
? Assignment: Read Section 12.3 from McDonald. ? We want to look at the option prices dynamically. ? Question: What happens with the option price if one of the inputs
(parameters) changes? ? First, we give names to these effects of perturbations of parameters
to the option price. Then, we can see what happens in the contexts of the pricing models we use.
Set-up
? Assignment: Read Section 12.3 from McDonald. ? We want to look at the option prices dynamically. ? Question: What happens with the option price if one of the inputs
(parameters) changes? ? First, we give names to these effects of perturbations of parameters
to the option price. Then, we can see what happens in the contexts of the pricing models we use.
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