Tag Info

New answers tagged


I would consider the financial applications of the Greeks: hedging. The "main" greeks, viz. Delta, Gamma, Theta, Vega and Rho, all have intuitive financial meanings. Gamma is the rate of change of your Delta (how many shares of stock to own) with respect to the stock price, so a high Gamma implies you will be rebalancing in large quantities (often ...


The clue was to establish that there are typos in the script. Hence, I should have aimed to prove $\frac{Ke^{-r\tau}}{S^2\sigma\sqrt{\tau}}\Phi'(d_2)=\frac{\Phi'(d_1)}{S\sigma \sqrt{\tau}}$. Therefore, we have \begin{equation*} \frac{\partial^2 C}{\partial S^2}=Ke^{-r\tau}\mathbb{E}[\frac{\delta(S-U)}{U}] = Ke^{-r\tau} \int^{\infty}_0 \frac{\delta(S-u)}{u} ...

Top 50 recent answers are included