The document discusses various hedging strategies that a bank can use to lock in profits from selling a European call option, including delta hedging. Delta hedging involves maintaining a delta neutral portfolio by rebalancing the hedge position as the delta changes. Other Greek letters discussed are gamma, which measures how delta changes with the stock price, and vega, which measures how the option value changes with volatility. The document also discusses hedging with futures contracts and portfolio insurance strategies.
If you’re somewhat new to Options, you must have heard about the Option Greeks. In fact, a common rookie mistake with Options traders is that they ignore the Greeks. In this post, hopefully, I can convey the importance of Option Greeks explained in simple terms. This is easily one of the biggest mistakes a newbie Options trader can do.
Black-Scholes Model
Introduction
Key terms
Black Scholes Formula
Black Scholes Calculators
Wiener Process
Stock Pricing Model
Ito’s Lemma
Derivation of Black-Sholes Equation
Solution of Black-Scholes Equation
Maple solution of Black Scholes Equation
Figures
Option Pricing with Transaction costs and Stochastic Volatility
Introduction
Key terms
Stochastic Volatility Model
Quanto Option Pricing Model
Key Terms
Pricing Quantos in Excel
Black-Scholes Equation of Quanto options
Solution of Quanto options Black-Scholes Equation
If you’re somewhat new to Options, you must have heard about the Option Greeks. In fact, a common rookie mistake with Options traders is that they ignore the Greeks. In this post, hopefully, I can convey the importance of Option Greeks explained in simple terms. This is easily one of the biggest mistakes a newbie Options trader can do.
Black-Scholes Model
Introduction
Key terms
Black Scholes Formula
Black Scholes Calculators
Wiener Process
Stock Pricing Model
Ito’s Lemma
Derivation of Black-Sholes Equation
Solution of Black-Scholes Equation
Maple solution of Black Scholes Equation
Figures
Option Pricing with Transaction costs and Stochastic Volatility
Introduction
Key terms
Stochastic Volatility Model
Quanto Option Pricing Model
Key Terms
Pricing Quantos in Excel
Black-Scholes Equation of Quanto options
Solution of Quanto options Black-Scholes Equation
A capped swap is an interest rate swap with an interest rate cap option where the floating rate of the swap is capped at a certain level while a floored swap is an interest rate swap with a floor option where the floating rate of the swap is floored at a certain level. Capped swaps or floored swaps limit the risk of the floating rate payer or receiver to adverse movements in interest rates. A capped swap can be decomposed into a swap and a cap whereas a floored swap can be decomposed into a swap and a floor.
This presentation gives an overview of capped/floored swap product and valuation.
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