Tagged Questions
2
votes
2answers
305 views
How to calculate Vomma of Black Scholes model
This source (PDF) gives the closed-form for vomma (or volga, i.e. the second derivative of price w.r.t. volatility) of the Black Scholes option pricing model as:
...
14
votes
3answers
610 views
When do Finite Element method provide considerable advantage over Finite Differences for option pricing?
I'm looking for concrete examples where a Finite Element method (FEM) provides a considerable advantages (e.g. in convergence rate, accuracy, stability, etc.) over the Finite Difference method (FDM) ...
4
votes
4answers
1k views
How to get greeks using Monte-Carlo for arbitrary option?
Let's assume I have an arbitrary option that I can price using Monte-Carlo simulation. What is the general approach (i.e. without relying on specific option type) to calculating the greeks in this ...
1
vote
1answer
258 views
Calculating Theta assuming other variables remain the same
Is there any way to calculate theta at X day in future based solely on knowing
1) Total Current Option Price
2) Days Till Expiration
How would this be done? Thank you
4
votes
1answer
167 views
Standard Deviations out the money where options will respond to underlying asset price changes
Is there an understood way of determining how far out the money an option can be, before it starts/stops responding to the underlying asset price changes?
I usually look at the greeks, gamma, delta, ...
8
votes
3answers
829 views
How can one compute the Greeks on VIX Futures
I am guessing the short answer to this question is "use the chain rule and linearity of the derivative," but I am looking for more specific advice on how to compute the derivatives of a VIX futures ...
