# Linked Questions

5answers
67k views

### A simple formula for calculating implied volatility?

We all know if you back out of the Black Scholes option pricing model you can derive what the option is "implying" about the underlyings future expected volatility. Is there a simple, closed form, ...
1answer
102 views

### VaR of long options

I just had a chat with a risk manager who thinks that the daily VaR of a long option with a maturity under three months should be 'Premium of the Option' / 20 (assuming twenty days in a month) ...
1answer
316 views

### European option Vega with respect to expiry and implied volatility

I was told that the Vega of an European option always increases when its time to expiry increases (all else equal). I found this confusing and potentially wrong, but there doesn't seem to be relevant ...
1answer
369 views

### at-the-money short term straddle and the implied vol

Here is a passage from "Advanced Equity Derivatives: Volatility and Correlation" by Sebastien Bossu, Wiley (2014). We see the prox $\beta_0,$ it seems to use the approximation that ...
1answer
1k views

### At-The-Money-Forward option approximation

Given that the Black-Scholes formula for a European Call is given by: $$C(S,t)=Se^{-D(T-t)}N(d_1)-Ke^{-r(T-t)}N(d_2)$$ $S$ is stock price, $K$ is strike price An At-The-Money-Forward option is ...
1answer
117 views

### Estimate Options Delta By Hand [duplicate]

Underlying = 100 K = 90 1 year Put at K is trading 5. What's the approximate delta of the put?
0answers
220 views

### Expected profit from straddle and its standard deviation

I was reading "Paul Wilmott introduces quantitative finance". In chapter 10 page 227 he states that: If you buy an at-the-money straddle close to expiry the profit you expect to make from this ...
2answers
3k views

### Estimate simple option price without a calculator

I have been to two different interviews for jobs related to option trading, and both time I have been asked a question, which is pretty basic, and still I could not answer it. If you have an European ...
2answers
631 views

### Black-Scholes fastest computation method

What is the fastest way to numerically compute Black-Scholes-Merton option prices? I'm trying to find fastest and still precise method. Currently I'm using numerical approximation of Normal cdf with ...
2answers
424 views

### BS and delta hedging questions

I have two related questions concerning Black Scholes and delta hedging. I thought about this two questions, but I could not come up with an answer, so maybe you guys & girls can help me: If an ...