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Results tagged with greeks
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user 26657
Greeks are named quantities representing sensitivity of option price to change in underlying parameters. Use of [greeks] tag should relate to one more named quantities, such as delta or gamma.
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From Delta to moneyness or strike
If I have volatility smile quoted with respect to the delta of an option on the forward, how can I convert this delta into the moneyness or strike of the option?
Is there any bult-in function of Matl …
- 531
2
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From Delta to moneyness or strike
The call delta in a Black framework is:
$$\Delta = N(d_1)$$
with $d_1=\frac{\ln(F_t(T)/K)+(T-t)\frac{\sigma^2}{2}}{\sigma\sqrt{T-t}}$.
Then the strike of the option is:
$$K=F_t(T) e^{-(N^{-1}(\Delta) …
- 531