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Results tagged with options
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user 7391
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
Effect of interest rate on options prices
By derivating the Black-Scholes formula in function of r (ρ=∂C/∂r), you get
ρ_call=0.01TKe^(-rT) N(d_2 )=ρ_put+0.01TKe^(-rT)
You can see that call prices increase (and put prices decrease) if intere …
- 21
1
vote
Delta formula for FX vanilla option
When pricing FX options, the underlying is the spot or forward exchange rate. …
- 21