Re: [問題] 歐式? 歐式選擇權?
※ 引述《borderland (夏日眠眠)》之銘言：
: ※ 引述《Minoxidil (Minoxidil)》之銘言：
: : 一個高階的B-S sensitivity
: : 這一類的有很多....
: 所以請您在更detail的解釋一下好嗎
: 到底是對哪一個因子進行微分或別的decomposition.
I find the answer..
Carrying on from the definition of vega, we look at another hedging
parameter; the volga. This gives us an even greater sensitivity assessm
ent by
showing the sensitivity in vega with respects to the option price.
The vega is the change in option value with respects to the change in
volatility of the underlying:
Consequently, the option vega is the 2nd derivative of the option value
with respects to the change in volatility:
Which can be considered as "gamma-vega" of the option, but is more commonly
just considered as volga or vomma.
--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 210.85.172.60
討論串 (同標題文章)
完整討論串 (本文為第 10 之 14 篇)：