New answers tagged greeks
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Get strikes from delta works with put but no with call function
If you have dividends, then $\Delta_C - \Delta_P = e^{-qt}$. As you note, you have $\Delta_C = e^{-qt}N(d_1)$ and $\Delta_P = e^{-qt}(N(d_1)-1)$.
For both $\Delta_C$ and $\Delta_P$ you then get $N(d_1)...
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3
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Option pricing Greeks in Python - incorrect Gamma with MC option pricing (Black) using AAD autograd / JAX libraries - but works with closed form?
I think the issues is because of the payoff function. You should replace the maximum() with HeavisideApprox(). Read this paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1626547
Here's the ...
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Theta changes over time
The classic textbook theta decay shows that it accelerates until expiry. It is frequently shown with regards to the option value as shown below.
This only holds for ATM options though, because an ITM ...
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6
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Theta changes over time
This old question Why we consider second derivative w.rt price but only first derivative w.r.t time and volatility suggests that it may just be called "acceleration".
If I were pricing some ...
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