HowtoCalculateOptionsPricesandTheirGreek.epub

Table of Contents Title Page Copyright Preface Chapter 1: Introduction Chapter 2: The Normal Probability Distribution STANDARD DEVIATION IN A FINANCIAL MARKET THE IMPACT OF VOLATILITY AND TIME ON THE STANDARD DEVIATION Chapter 3: Volatility THE PROBABILITY DISTRIBUTION OF THE VALUE OF A FUTURE AFTER ONE YEAR OF TRADING NORMAL DISTRIBUTION VERSUS LOG-NORMAL DISTRIBUTION CALCULATING THE ANNUALISED VOLATILITY TRADITIONALLY CALCULATING THE ANNUALISED VOLATILITY WITHOUT μ CALCULATING THE ANNUALISED VOLATILITY APPLYING THE 16% RULE VARIATION IN TRADING DAYS APPROACH TOWARDS INTRADAY VOLATILITY HISTORICAL VERSUS IMPLIED VOLATILITY Chapter 4: Put Call Parity SYNTHETICALLY CREATING A FUTURE LONG POSITION, THE REVERSAL SYNTHETICALLY CREATING A FUTURE SHORT POSITION, THE CONVERSION SYNTHETIC OPTIONS COVERED CALL WRITING SHORT NOTE ON INTEREST RATES Chapter 5: Delta Δ CHANGE OF OPTION VALUE THROUGH THE DELTA DYNAMIC DELTA DELTA AT DIFFERENT MATURITIES DELTA AT DIFFERENT VOLATILITIES 20–80 DELTA REGION DELTA PER STRIKE DYNAMIC DELTA HEDGING THE AT THE MONEY DELTA DELTA CHANGES IN TIME Chapter 6: Pricing CALCULATING THE AT......