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The Greek Letters Chapter 17

The Greek Letters Chapter 17. Goals. OTC risk management by option market makers may be problematic due to unique features of the options that are not available on exchanges. Many dimensions of risk (greeks) must be managed so that all risks are acceptable.

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The Greek Letters

Chapter 17. The Greek Letters. Example. A bank has sold for $300,000 a European call option on 100,000 shares of a nondividend paying stock S 0 = 49, X = 50, r = 5%, s = 20%, T = 20 weeks, m = 13% The Black-Scholes value of the option is $240,000

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430 views • 23 slides

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Positive gamma negative gamma - PowerPoint PPT Presentation

The Greek Letters Chapter 17

The Greek Letters