Timeline for How to attribute daily options P&L between Greek sensitivities
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
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| Oct 8, 2021 at 17:52 | comment | added | equanimity | I read through Section 12.2 of that text. Unfortunately, I last took calculus about 35 years ago and don't remember any of it! I was hoping for a plain-English explanation... :) | |
| Oct 7, 2021 at 13:05 | history | edited | D Stanley | CC BY-SA 4.0 |
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| Oct 7, 2021 at 3:30 | comment | added | Dimitri Vulis | May I humbly suggest Sir Roy George Douglas Allen Mathematical Analysis for Economists Macmillan (1938) Section 12.2 "Partial Derivatives of the Second and Higher Orders", pages 301ff. | |
| Oct 7, 2021 at 3:19 | comment | added | equanimity | Thank you, @D Stanley. I was (confusingly) referring to the "cross-effects" in the comments in this post: quant.stackexchange.com/questions/59354/…. Following your answer above, what would be the formula to calculate the Vega and Theta P&L? For example, would the Vega P&L be: (1/3*vega) * (change_in_spot^3)? (I'm not clear on Taylor expansion and have more studying to do there) | |
| Oct 7, 2021 at 2:28 | history | answered | D Stanley | CC BY-SA 4.0 |