Calculating option strike by inputting delta.

Discussion in 'Options' started by as586, Mar 21, 2012.

  1. ive checked the online resources, they don't help. hopefully someone who knows can chime in
     
    #11     Apr 21, 2022
  2. easymon1

    easymon1

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    #12     Apr 22, 2022
  3. jamesbp

    jamesbp

    StrikeFromDelta =

    UnderlyingPrice
    *EXP((NORMSINV(Delta*EXP((RiskFreeRate-Carry)*TimeToMaturity))*-1)
    *sigma*SQRT(TimeToMaturity)+(Carry+sigma^2/2)*TimeToMaturity)
     
    #13     Apr 22, 2022