New answers tagged greeks
2
votes
Vanna vs volga and vega
I am not sure I agree with @dm63 - this is way too long for a comment, not necessarily a definitive answer though to be honest. I think the fungibility argument is mainly applied / applicable for ...
3
votes
If two models imply the same volatility surface, do their greeks still differ?
Too long for a comment, so:
As mentioned above, and as I think you already know, to each SV model there corresponds a LV model with the same marginals. Both will therefore generate the same vanilla ...
Top 50 recent answers are included
Related Tags
greeks × 294options × 144
option-pricing × 65
black-scholes × 57
gamma × 29
vega × 28
derivatives × 26
delta × 26
volatility × 22
implied-volatility × 20
delta-hedging × 18
hedging × 17
monte-carlo × 12
theta × 11
portfolio-management × 8
american-options × 8
european-options × 8
risk-management × 7
volatility-smile × 7
vix × 7
call × 7
interest-rates × 6
option-strategies × 6
exotics × 6
sensitivities × 6