1
$\begingroup$

Can anyone suggest a book on pricing and trading in LEAPs / Long dated options (maturity atleast 6 months )or a generic book which covers this topic in great detail.

I’m specifically looking at how rho and theta for these options are different from short dated ones and how I need to consider that.

I found a couple good articles but they seem to be about hedging and not really speculative.

$\endgroup$
3
$\begingroup$

1 Not really pricing focused, but have you looked at: Marc Allaire and Marty Kearney. Understanding Leaps: Using the Most Effective Option Strategies for Maximum Advantage. McGraw-Hill 2002.

2 an article on the rho of long-dated commodity options, rather than equity options https://onlinelibrary.wiley.com/doi/abs/10.1002/fut.21954

3 Gurdip Bakshi, Charles Cao, Zhiwu Chen. Pricing and hedging long-term options.

$\endgroup$
1
  • $\begingroup$ Thanks a lot! Really helpful $\endgroup$ – Dhruv Mahajan Oct 28 '20 at 10:08

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.