Option pnl
- Thread starter clarodina
- Start date
Robert Morse
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What is Taylor?
Egads, retail traders pretending to run huge option books where they have to monitor 2d/3d level Greeks....
You are omitting that every now and then an institutional junior gets lost on the site. What's wrong with sharing some of the experience. I find this question way better than all that fibonacci and technical analysis crap. OP could probably add some context to make clearer what he is after.
I sense that recently all sorts of bullshit is worshipped at and each week some new self declared stock trading gods are emerging with their crazy calls and predictions that totally crash a few days or weeks later, yet sound advice , just because it comes from the mouths of those who work or worked in banks or hedge funds seems frowned upon. Jealousy or anger?
I sense that recently all sorts of bullshit is worshipped at and each week some new self declared stock trading gods are emerging with their crazy calls and predictions that totally crash a few days or weeks later, yet sound advice , just because it comes from the mouths of those who work or worked in banks or hedge funds seems frowned upon. Jealousy or anger?
The Taylor series expansion is an approximation, which is plenty accurate in a majority of contexts. That said, it's, obviously, an approximation.
There's quite a bit of literature on the specific aspects of the accuracy of this methodology.
There's quite a bit of literature on the specific aspects of the accuracy of this methodology.
Tailor expansion is just a method of extrapolation using your derivatives up to the Nth order. You can make it arbitrarily precise depending on which derivatives you include, e.g. you can include all sort of secondary greeks to make your risk better during bigger moves. People used to run large exotics books using overnight calcs and interpolating risk through the day, though it works rather poorly for some specific cases.