How i can calculate a tetha of option

Quote from jenek-cowboy:

I am from Russia :) ...And in our contry broker does't show any more information except that they get from exchange :)..
From Russia with love :)
More...

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?
 
Quote from MasterAtWork:

Hi Rosy,

I'm sorry but it's wrong :D

Theta is "minus" the first derivative of an option with respect of time.

Because the direction of time scale. It's not an increase in time as usual for a derivative calculus, it's a time decrease. Maturity tends to be zero.

Regards
More...

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.
 
Quote from beep1:

Good post M.

The man still needs a formula for Gamma, which sould depend on how far one is on the density function.
More...

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
 
Quote from beep1:

but I am sure the majority are good people.
More...

It is true.. Russian honest and friendly people for all peoples.

Quote from beep1:

I have heard there are a lot of crooks in russia[/B]
More...

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...

Quote from beep1:
PS: did you find the formula for gamma? [/B]
More...

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 :)
 
Quote from Raver:

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

Enjoy!
More...
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
 
You must log in or register to reply here.
Back
Top