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Results tagged with options
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user 70872
A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.
1
vote
0
answers
83
views
Does it make sense to use Black Scholes greeks to attribute P/L given the Black Scholes assu...
However, these same people use Black Scholes calculated greeks for understanding the risk of a portfolio of options and for P/L attribution. …
- 121
11
votes
2
answers
978
views
Why are Black-Scholes derived greeks used for risk management when alternatives exist?
To my understanding, it is still quite common for market makers of vanilla options to use Black-Scholes greeks. …
- 121
0
votes
0
answers
30
views
Do bias adjustments make sense in the context of measuring realized volatility to compare to...
I've been considering constructing a volatility cone to compare implied volatility to realized close-to-close volatility. However, I was wondering how the typical bias adjustments you might make to an …
- 121