How to Calculate Options Prices and Their Greeks / Wiley Finance Series (ePub)

A 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

How 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&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, vega-convexity , and
more. Charts and tables illustrate how specific positions in a
Greek evolve in relation to its parameters, and digital ancillaries
allow you to see 3D representations using your own parameters and
volumes.

The Black and Scholes model is the most widely used option
model, appreciated for its simplicity and ability to generate a
fair value for options pricing in all kinds of markets. This book
shows you the ins and outs of the model, giving you the practical
understanding you need for setting up and managing an option
strategy.

* 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 simple
two-dimensional approach consisting of P&L versus underlying at
expiry. This is misleading, as the Greeks can make a world of
difference over the lifetime of a strategy. How to Calculate
Options Prices and Their Greeks is a comprehensive, in-depth guide
to a thorough and more effective understanding of options, their
Greeks, and (hedging) option strategies.