HowtoCalculateOptionsPricesandTheirGreek.epub - (EPUB全文下载)

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Table of Contents
Title Page
Copyright
Preface
Chapter 1: Introduction
Chapter 2: The Normal Probability Distribution
STANDARD DEVIATION IN A FINANCIAL MARKET
THE IMPACT OF VOLATILITY AND TIME ON THE STANDARD DEVIATION
Chapter 3: Volatility
THE PROBABILITY DISTRIBUTION OF THE VALUE OF A FUTURE AFTER ONE YEAR OF TRADING
NORMAL DISTRIBUTION VERSUS LOG-NORMAL DISTRIBUTION
CALCULATING THE ANNUALISED VOLATILITY TRADITIONALLY
CALCULATING THE ANNUALISED VOLATILITY WITHOUT μ
CALCULATING THE ANNUALISED VOLATILITY APPLYING THE 16% RULE
VARIATION IN TRADING DAYS
APPROACH TOWARDS INTRADAY VOLATILITY
HISTORICAL VERSUS IMPLIED VOLATILITY
Chapter 4: Put Call Parity
SYNTHETICALLY CREATING A FUTURE LONG POSITION, THE REVERSAL
SYNTHETICALLY CREATING A FUTURE SHORT POSITION, THE CONVERSION
SYNTHETIC OPTIONS
COVERED CALL WRITING
SHORT NOTE ON INTEREST RATES
Chapter 5: Delta Δ
CHANGE OF OPTION VALUE THROUGH THE DELTA
DYNAMIC DELTA
DELTA AT DIFFERENT MATURITIES
DELTA AT DIFFERENT VOLATILITIES
20–80 DELTA REGION
DELTA PER STRIKE
DYNAMIC DELTA HEDGING
THE AT THE MONEY DELTA
DELTA CHANGES IN TIME
Chapter 6: Pricing
CALCULATING THE AT THE MONEY STRADDLE USING BLACK AND SCHOLES FORMULA
DETERMINING THE VALUE OF AN AT THE MONEY STRADDLE
Chapter 7: Delta II
DETERMINING THE BOUNDARIES OF THE DELTA
VALUATION OF THE AT THE MONEY DELTA
DELTA DISTRIBUTION IN RELATION TO THE AT THE MONEY STRADDLE
APPLICATION OF THE DELTA APPROACH, DETERMINING THE DELTA OF A CALL SPREAD
Chapter 8: Gamma
THE AGGREGATE GAMMA FOR A PORTFOLIO OF OPTIONS
THE DELTA CHANGE OF AN OPTION
THE GAMMA IS NOT A CONSTANT
LONG TERM GAMMA EXAMPLE
SHORT TERM GAMMA EXAMPLE
VERY SHORT TERM GAMMA EXAMPLE
DETERMINING THE BOUNDARIES OF GAMMA
DETERMINING THE GAMMA VALUE OF AN AT THE MONEY STRADDLE
GAMMA IN RELATION TO TIME TO MATURITY, VOLATILITY AND THE UNDERLYING LEVEL
PRACTICAL EXAMPLE
HEDGING THE GAMMA
DETERMINING THE GAMMA OF OUT OF THE MONEY OPTIONS
DERIVATIVES OF THE GAMMA
Chapter 9: Vega
DIFFERENT MATURITIES WILL DISPLAY DIFFERENT VOLATILITY REGIME CHANGES
DETERMINING THE VEGA VALUE OF AT THE MONEY OPTIONS
VEGA OF AT THE MONEY OPTIONS COMPARED TO VOLATILITY
VEGA OF AT THE MONEY OPTIONS COMPARED TO TIME TO MATURITY
VEGA OF AT THE MONEY OPTIONS COMPARED TO THE UNDERLYING LEVEL
VEGA ON A 3-DIMENSIONAL SCALE, VEGA VS MATURITY AND VEGA VS VOLATILITY
DETERMINING THE BOUNDARIES OF VEGA
COMPARING THE BOUNDARIES OF VEGA WITH THE BOUNDARIES OF GAMMA
DETERMINING VEGA VALUES OF OUT OF THE MONEY OPTIONS
DERIVATIVES OF THE VEGA
VOMMA
Chap ............

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