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Quant analytics: Options Pricing Greeks delta, gamme, vega, rho, theta, C++ programming

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  Quant analytics: Options Pricing Greeks delta, gamme, vega, rho, theta, C++ programming Join my FREE newsletter if you like these sort of articles  algo   Shows sensitivity to an options price   Example: Contractual time life of 1 year T = 1.00 S(stock price)=100 K=100 v=30 percent r=4 percent Div yield=0% (no dividend) OPTION …

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Swaptions: 1 Price, 10 Deltas, and… 6 1/2 Gammas*: Wilmott Magazine Article

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Swaptions: 1 Price, 10 Deltas, and… 6 1/2 Gammas*: Wilmott Magazine Article Marc Henrard In practice, option pricing models are calibrated using market prices of liquid instruments. Consequently for these instruments, all the models give the same price. But the risk implied by them can be widely different. This note compares simple risk measures (first …

Swaptions: 1 Price, 10 Deltas, and… 6 1/2 Gammas*: Wilmott Magazine Article Read More »

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