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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.

3
votes
For first order accuracy you can use: $f^3(x)=\frac{1}{h^3}\left(f(x+2h)-3f(x+h)+3f(x)-f(x-h) \right)$ For the second order accuracy: $f^3(x)=\frac{1}{2h^3}\left(f(x+2h)-2f(x+h)+2f(x-h)-f(x-2h) \ri …
answered Jul 17 '19 by Magic is in the chain
1
vote
Here you go for three different levels of volatilities:
answered Jun 26 '19 by Magic is in the chain
2
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The Greeks chapter in Hull’s Options, Futures, and other derivatives book would be a good start if you have not read Hull’s. … The Greeks and Hedging Explained by Peter Leoni is also very accessible and provides good coverage of the concepts. And if you prefer the traders style then you might like Taleb’s Dynamic Hedging. …
answered Jul 4 '19 by Magic is in the chain
2
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I will answer in two parts: 1): Assuming this is meant in the Black Scholes sense (one dimensional diffusion), here is an alternative explanation motivated by the convexity of the option price. In s …
answered Sep 22 '19 by Magic is in the chain
0
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So they would have computed the vega of each asset class by shifting the vol of each position by, say 1bp, and then summed the results across the asset classes. It uses simplyifying assumptions in tha …
answered Aug 28 '18 by Magic is in the chain
4
votes
Think of this in terms of Taylor series. Let's say the option price today is $C\left(S,t\right)$ where S is the underlying price and t time. Let's say the underlying price changes by $\Delta S$ in a t …
answered Aug 16 '19 by Magic is in the chain
2
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It is simpler than the other Greeks, and the reason you don't hear a lot about $\rho$ is because it has smaller impact in the scheme of things. …
answered Aug 10 '19 by Magic is in the chain
1
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The labelling is indeed a bit confusing- this guy is normally very smooth! Let’s focus on the weekly rebalancing column, here are the detailed steps. 1) Simulate the path of the stock price as per …
answered Oct 30 '18 by Magic is in the chain
1
vote
Assuming Greeks are derived based on the same analytical formula (which I think is the case here), or under similar assumptions, then Greeks based approach can at best be an approximation, which is not … (some of the best ones don't require greeks at all). …
answered Oct 11 '19 by Magic is in the chain