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7
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5answers
4k 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 ...
5
votes
2answers
12k views

What does it mean to be long gamma?

When you are "long gamma", your position will become "longer" as the price of the underlying asset increases and "shorter" as the underlying price decreases. source: http://www....
1
vote
1answer
525 views

Pre-trade evaluation and risk assessment of option trading strategies (in market practice)

When a trader gets conclusion of the volatility is being underestimated (via volatility cone or some other technology), actually there are multiple ways for his trading. (Let's assume the underlying ...
9
votes
3answers
769 views

Which greeks do you need to hedge if you want to implement an implied-volatility security?

Assume you want to create a security which replicates the implied volatility of the market, that is when $\sigma$ goes up, the value of the security $X$. The method you could use is to buy call ...
3
votes
2answers
601 views

Why gamma and theta have opposite signs?

I saw some textbooks use B-S equation to explain why gamma and theta have opposite signs in most of the cases. For example, John Hull's classic book. The explanation is, first write B-S equation in ...
1
vote
3answers
162 views

Greeks of self-financing portfolio

I would like to learn more about the Greeks of portfolios of options: In textbooks and websites, I commonly encounter the unqualified claim that "The Greek measure of a portfolio is the sum of the ...