| Autor: Beata Stolorz | 189 |
Strony: 189-197
pełen tekst
DUAL DELTA AND DUAL GAMMA – SENSITIVITY MEASURES
Summary
In practice it is claimed that studying parameters: delta, gamma, theta, vega and rho is suffi cient to manage option risk. However in case of strategies created on the basis of these parameters one should remember that their value changes with the change of price of underlying instrument S and also due to the so called “ageing” of option, meaning the change with time. Hence, there is a need to apply in advanced analyses other sensitivity measures. The aim of this study is to present two less known sensitivity parameters: dual delta and dual gamma of European call option and put option for the model of pricing of Black-Scholes.
pełen tekstDUAL DELTA AND DUAL GAMMA – SENSITIVITY MEASURES
Summary
In practice it is claimed that studying parameters: delta, gamma, theta, vega and rho is suffi cient to manage option risk. However in case of strategies created on the basis of these parameters one should remember that their value changes with the change of price of underlying instrument S and also due to the so called “ageing” of option, meaning the change with time. Hence, there is a need to apply in advanced analyses other sensitivity measures. The aim of this study is to present two less known sensitivity parameters: dual delta and dual gamma of European call option and put option for the model of pricing of Black-Scholes.