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Results tagged with black-scholes
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user 55114
Black-Scholes is a mathematical model used for pricing options.
2
votes
2
answers
1k
views
Mixed greeks in Python - How plot the following
I am interested about greeks with Black-Scholes. In this case, I have the python formula to compute the greek called "Vanna", that is: $\frac{\partial^2 P}{\partial \sigma \partial S}$ the sensitivity …
- 45
1
vote
1
answer
191
views
Correlated Wiener Process
I am in trouble with a task:
I have a portfolio of 5 assets, and I Have the correlation among them, with a 5x5 matrix.
Since each asset follows the BS formula: , I need to perform a montecarlo simulat …
- 45