Can you please help me how to compute vega at different strikes using ATM volatility and underlying ? Is there a formula for calculation ?
Compute vega at -1.0, -0.5, +0.5, +1.0, +1.5 moneyness
- Thread starter ChiliBiscuut
- Start date
Any help please
Have you tried Google?
Scroll down to the relevant exp.
http://www.optionistics.com/quotes/stock-option-chains?symbol=AAPL
You can plot whatever greek you want on this chart:
http://www.optionistics.com/quotes/option-prices?optsym=AAPL 140627C00090000
This is all eod data
http://www.optionistics.com/quotes/stock-option-chains?symbol=AAPL
You can plot whatever greek you want on this chart:
http://www.optionistics.com/quotes/option-prices?optsym=AAPL 140627C00090000
This is all eod data
Recall that a call price is a function
CP(S, X, t, v, r), where
S is the current stock price
X is the strike price
t is the time to expiration
v is the volatility assumption
r is the interest rate assumption and assumption for the expected growth rate of the underlying
Vega is defined to be the partial derivative d(CP)/dv.
Typically, the function CP is calculated via a binomial tree expansion. For American options this is necessary, because of the early exercise right. For European options, there is an explicit formula you can differentiate.
To calculate vega, you do a numerical approximation of the derivative. Suppose epsilon = 0.001. In that case, vega is (CP(v + 0.001) - CP(v) / 0.001). You can't make epsilon too small, because floating point round-off will introduce error if epsilon is really small. A value of 0.001 is good enough.
To calculate vega, you construct two binomial trees, numerically approximating the derivative.
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