Schlagwörter » Theta

Why is Everyone Sick?

As I was opening to what to write about this subject this morning, I was given the belief “It wouldn’t be the same without trauma and drama during the holidays.”. 615 weitere Wörter

Theta Musings

Γειά σας! Welcome to the second installment of our discussion of options! By now, I’m sure that all of you have had a chance to… 1.474 weitere Wörter

Finance

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Hear nothing, see nothing, feel nothing.

There’s a Zen proverb that goes: “You should sit in meditation for twenty minutes every day — unless you’re too busy. Then you should sit for an hour.” 454 weitere Wörter

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Completing the View - 360 Project

Some young people, particularly those with an autistic spectrum condition or anxiety can find that it’s a challenge to move from a small high school to a large open college campus. 209 weitere Wörter

Richard Maclachlan

Greeks - Matlab Code

In this Matlab code, we provide graphs of Greeks as functions of the initial stock price.

function greeks(S1, S2, X, r, sigma, T)
echo off;
S0 = S1 : S2;

% plot delta
subplot(3,2,1);
d1 = (log(S0./X) + (r + 0.5 * (sigma.^2)).*T )./ (sigma.*sqrt(T));
d2 = d1 - sigma.*T;
bsc1 = S0.* normcdf(d1) - X.* exp(-r.* T).* normcdf(d2);
bsc2 = (S0.* normcdf(d1) + 0.01 * normcdf(d1)) - X.* exp(-r.* T).* normcdf(d2);
delta2 = (bsc2 - bsc1) / 0.01;
plot(S0, delta2);
title('Black-Scholes delta');

% plot theta
subplot(3,2,2);
d1=(log(S0./X) + (r + 0.5 * (sigma.^2)).*T )./ (sigma.*sqrt(T));
d2 = d1 - sigma.*T;
c1=0.5*sigma.*S0.*normpdf(d1)./sqrt(T);
c2=X.*r.*exp(-r.*T).*normcdf(d2);
theta = c1 + c2;
plot(S0, theta);
title('Black-Scholes theta');

% plot vega
subplot(3,2,3);
d1=(log(S0./X) + (r + 0.5 * (sigma.^2)).*T )./ (sigma.*sqrt(T));
vega = S0.*normpdf(d1).*sigma.*sqrt(T);
plot(S0,vega);
title('Black-Scholes vega');

% plot rho
subplot(3,2,4);
d1=(log(S0./X) + (r + 0.5 * (sigma.^2)).*T )./ (sigma.*sqrt(T));
d2 = d1 - sigma.*T;
rho = X.*T.*exp(-r.*T).*normcdf(d2);
plot(S0,rho);
title('Black-Scholes rho');

% plot gamma
subplot(3,2,5);
d1=(log(S0./X) + (r + 0.5 * (sigma.^2)).*T )./ (sigma.*sqrt(T));
gamma = normpdf(d1)./(S0.*sigma.*sqrt(T));
plot(S0,gamma);
title('Black-Scholes gamma');

echo on;
Quant Finance

The Golden Grid

A few days ago I was reminded of the beautiful golden grid that supports us all. And, I was encouraged to do a beautiful meditation to lighten and brighten the grid. 296 weitere Wörter

Theta Musings