Innovative Derivatives: The World of Exotic Options
In-depth exploration of various Exotic Options, shedding light on their benefits, limitations, and the intricate methods employed for pricing!
Options Strategies With Python – Part 1
Covered Call import numpy as np import matplotlib.pyplot as plt # Function to calculate the payoff of a covered call def covered_call_payoff(s, strike_price, stock_purchase_price, call_premium): # Stock payoff without the…
Exploring Greeks – Vega (ν) and RHO (ρ) with Python
Option Price with Volatility import numpy as np import matplotlib.pyplot as plt from scipy.stats import norm # Function to calculate Black-Scholes option price for call and put options def calculate_option_price(S,…
Exploring Greeks – Gamma (Γ) and Theta (Θ) with Python
Relationship of Gamma (Γ) with different expiries import numpy as np import matplotlib.pyplot as plt from tabulate import tabulate from scipy.stats import norm # Function to calculate call gamma def…
Comprehensive Guide to Option Greeks: Insights and Applications
In mathematical finance, the Greeks serve as essential measures denoting the sensitivities or derivatives of a derivative instrument's price—like an option—to alterations in one or more underlying parameters. These parameters…
Implied Volatility: Newton-Raphson and Bisection Method
Newton-Raphson Method import numpy as np import matplotlib.pyplot as plt from scipy.stats import norm import math def bsm_option_price(S, K, T, r, sigma, option_type='call'): d1 = (math.log(S / K) + (r…
Valuing Options – Black Scholes Merton
Generate a 3D plot import numpy as np import matplotlib.pyplot as plt from mpl_toolkits.mplot3d import Axes3D from scipy.stats import norm def black_scholes_merton(S, K, T, r, sigma, option_type): d1 = (np.log(S…
Understanding BSM Theory: Analyzing Option Prices in Financial Markets
History The groundbreaking work of economists Fischer Black and Myron Scholes in 1968 laid the foundation for a significant breakthrough in financial economics. They introduced the concept of a dynamic…
Basic Options Concepts
Options are contractual agreements that grant the holder the right, without imposing an obligation, to buy or sell a specified amount of an underlying asset at a predetermined price before…
Historical and Implied Volatility
Historical Volatility Historical volatility is a statistical measure that quantifies the extent to which the price of a financial instrument has varied throughout a specified time interval. It is determined…