# Tag Info

### Price Option B Knowing The Price of a Similar Option A

Solution: I've found the answer to this. Assuming $r = 0$ and using Black Scholes: For our 25-strike call option, we know that  20N(d_1^c)-25N(d_2^c) = 0.90, \text{ where } d_{1,2}^c=\frac{\log{20/...
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### Price Option B Knowing The Price of a Similar Option A

Welcome Kai, I am Kai. Hopefully this answers your question? A Review on IV Calculations https://www.sciencedirect.com/science/article/pii/S0377042717300602 I don't think there are exact mathematical ...

### 0DTE volatility and greeks

0DTE options don't expire on market close (i.e 4PM) but the settlement happens in after market hours. If the market is pricing a move in that time your greeks will be useless, you can adjust for that ...
Accepted

### Why do the Greeks not converge to the strike as the volatility tends to zero?

If you shrink the volatility (let's say more extreme it goes to zero), then the spot price at maturity is simply $S_t e^{r(T-t)}$. There are no uncertainty; the at-maturity spot price becomes somehow ...

### 0DTE volatility and greeks

You don't. The problem is that when the time horizon is so small, if the options isn't perfectly ATM, the gamma and vega $\approx0$, and delta $\approx1$. A small shift in the underlying further OTM/...

### Closed form / analytical solution for bespoke (but vanilla) Option

It is the same a option spread: selling put strike at N+S_0 and buying put at strike S_0

### Closed form / analytical solution for bespoke (but vanilla) Option

I may have misunderstood the question, but it seems like this payoff is identical to being short the S0/(S0+N) European put spread? If ST > N+S0, the payoff is 0. If ST < S0, the payoff is -N. ...