How i can calculate a tetha of option

Discussion in 'Options' started by jenek-cowboy, Aug 18, 2008.

  1. beep1

    beep1

    I have heard there are a lot of crooks in russia, but I am sure the majority are good people.

    PS: did you find the formula for gamma?
     
    #11     Aug 21, 2008
  2. beep1

    beep1

    You are right, but I bet majority of people work with absolute values but are alert to the MINUS and PLUS sigsn when they put a trade on as their money is on the line.
     
    #12     Aug 21, 2008
  3. If q is a continuous dividend yield,
    N'(x) the density function of the standardized Normal distribution,
    sigma the volty,
    S the spot,
    K the strike
    r risk free rate
    and T time to maturity

    Gamma=((exp(-q*T))*N'(d1))/((sigma*S*square root of T))


    d1=(log(S/K)+(r-q+0,5*sigma*sigma)*(T))/(sigma*square root of T)
    N'(x)=(1/(square root of (2*3,14159))*(exp(-0,5*x*x)))


    gamma is the same for puts and calls.

    Cheers
     
    #13     Aug 21, 2008
  4. It is true.. Russian honest and friendly people for all peoples.

    It is thery sad to hear....This opinion may be in you mind for a one reason..You TV and newspapers are not correctly told about as..Consider at least a sample to the war in OSETIA..In first time most Americans politics lied about situation..Russian people a well refers to American people...But your politics are followed only they personal goal...

    the formula ia simple..You can calculate the delta in this price and calculate delta to price+1...Find the difference and this is a gamma...
    From Russia with love :)
     
    #14     Aug 22, 2008
  5. Raver

    Raver

    A sheet with BS model with div. with all the greeks

    Enjoy!
     
    • bs.xls
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    #15     Aug 22, 2008
  6. O! Thank you! I start to study you information..Sorry that so long did not answer..
    From Russia with Love :)

    It is a great script!!! But tell me please how i can get a VB code for you function named VEGA...Thank you
     
    #16     Aug 26, 2008
  7. Raver

    Raver

    Press: 'Alt+F11' for the VB code
     
    #17     Aug 26, 2008