68k 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, ...
642 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 ...
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 ...
431 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 ...
340 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 ...
400 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 ...
104 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) ...
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 ...