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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.

2
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1answer
From Dynamic Hedging by Taleb: Risk Management Rule: Option trader lore states that when long gamma, use limit orders. When short gamma, use stop orders. I cannot understand why this is and the …
asked Mar 16 '16 by Trajan
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0answers
I suppose the further question would be how do we know whether the greeks would be additive or multiplication or neither? …
asked Apr 29 '18 by Trajan
3
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1answer
In this document, https://www.eurexgroup.com/blob/2435406/f1b0086a8c6d05954c58a8dc24308c81/data/20160304_Colin-Bennent-Trading-Volatility-.pdf, it states that "This is because the dividend risk o …
asked Mar 7 '17 by Trajan
9
votes
1answer
"The vega is the integral of the gamma profits ( ie expected gamma rebalancing P/L) over the duration of the option at one volatility minus the same integral at a different volatility...Mathematicall …
asked Mar 16 '16 by Trajan
3
votes
0answers
In the link below, in the text it states the following equations: Delta-hedged straddle P&L = Volatility Risk-premium ×| Straddle Vega | and Delta-hedged risk-reversal P&L: P&L …
asked May 7 '18 by Trajan
6
votes
2answers
Often when I am reading about options pricing (and/or options greeks) the square root of time continually comes up. What the mathematical justification for why this keeps on turning up? …
asked Sep 18 '16 by Trajan
1
vote
2answers
Why do you get long vega when you buy an option and short vega when you sell an option? I would have thought that for both buying and selling options the vega would change according to whether the o …
asked Sep 18 '16 by Trajan
2
votes
1answer
From this book, http://docs.finance.free.fr/Options/Exotic_Options_Trading.pdf, it states that The gamma profile of a Max lookback option becomes intuitive when viewing it as a ladder option. I …
asked Apr 1 '17 by Trajan