07_Options_ the Greeks

07_Options_ the Greeks - 7 1. 2. 3. 4. 5. 6. Delta Theta...

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7 第第第第第第第
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Greeks 2 第第第第 1. Delta 2. Theta 3. Gamma 4. Vega 5. Rho 6. Portfolio Insurance
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Greeks 3 第第第第 1. 第第第第第第第第第第第第第第第第第第第第第第第 第第第第第 第第第第第第第第第第 1. 第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第 第第第 Delta, Gamma 第第第第第 Theta 第第第第 Vega 第第第第第第 Rho
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Greeks 4 Delta 1. Delta 第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第 2. 第第 S( 0) S ∂Π @
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Greeks 5 Delta—— 第第第第第第 1. 第第 BS 第第第第第第第第 2. Delta 第第第第第第      1 ( 29 1 1 0 p N d ∆ = - < ( 29 1 c N d ∆ = S( 0)
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Greeks 6 Delta—— 第第第第第第 Delta 第第第第第第第第 at the money in the money out of the money
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Greeks 7 Delta—— 第第第第第第 1. 第第第第 2. 第第第第 3. 第第第第 4. 第第第第 ( 29 1 qT c e N d - ∆ = ( 29 1 1 qT p e N d - ∆ = - ( 29 1 f r T c e N d - ∆ = ( 29 1 1 f r T p e N d - ∆ = - ( 29 1 rT c e N d - ∆ = ( 29 1 1 rT p e N d - ∆ = - ( 29 r T t f S Ke - - = - 1 ⇒ ∆ =
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Greeks 8 Delta—— 第第 第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第 Delta 第第第第第第第 Delta 第第第第 第第第 第第第第第第第 I 第第第第第第 1 n i i i w = ∆ = i w
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Greeks 9 Delta 第第 1. 第第第第第第第第第第第第第第第第第第第第第第第第第第第第 Delta 第第第 Delta 第第第第第 ( 第第第第 ) Delta 第第第 1. 第第第第 第第第第第 Delta 第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第 1. 第第第 BSM 第第第第第第第第第 1 第第第第第第第第第第 第第第 BS 第第 Delta 第第第第第第第第第第第第第 Delta 第第第第 f S
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Greeks 10 Delta 第第——第第第第 1. 第第第第第第第第第第第第第 第第第第第第第第第第第第 1. 第第 第第第第第第第 Delta 第第第第第第第第第第第第 Delta 第第第第第第第第第第 1. 第第第 Delta:  第第第第第 Delta v.s.  第第第第第 Delta A H * T F H 0 0 rT F S e = rT e ⇒ ∆ =
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11 Delta 第第——第第第第 4. Delta 第第第第第第第第第 第第第第第第第
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This note was uploaded on 12/02/2011 for the course BUSINESS Finance taught by Professor Li during the Summer '09 term at Peking Uni..

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07_Options_ the Greeks - 7 1. 2. 3. 4. 5. 6. Delta Theta...

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