So the equation that you propose is Beta Option =  (Strike / Call) * Change in Call?   Am I defining your variables properly? In theory I could I take (Delta * (Spot/Call Price) * Beta) since delta is the change in change of option in relation to change of underlying?   Or would this be correct alo...

So the equation that you propose is Beta Option =  (Strike / Call) * Change in Call?   Am I defining your variables properly? In theory I could I take (Delta * (Spot/Call Price) * Beta) since delta is the change in change of option in relation to change of underlying?   Or would this be correct alon...

For ATM options the delta is very stable with respect to any volatility you input, for somewhat OTM options very sensitive to input vol.  Naturally again affect the Beta of option, OTM betas sensitive to vol.  Should one use implied vol to calculate the Beta or some other vol estimate (for atm dose...

Found it:  https://www.cs.princeton.edu/courses/ar ... oles73.pdf

Further analysis reveals... Unfortunately, this does not solve the problem in the manner that I was looking for.

Mathematically, what is the issue when you try to solve for it?   I can build in limits into the function. It seems like from the thread you posted that some people are using solver algorithms, which I am trying to avoid. We do know two obvious things that eliminate some solutions:   1) S0 must be a...

Yes correct.

I agree, but no one seems to be able to answer the question.  It's not even in the CFA review manual (levels 1-3).  I'm trying to create a shortcut for my VIX model.  There are easy ways to compute it without solving for it but if you solve for it, it simplifies the program dramatically.  It fits in...

Does anyone have an equation for implied volatility?  I.e. has anyone been able to solve for standard deviation on one side of BS? It is difficult to solve for because it is nested in the normal probability function. We would have to solve for S0 in two equations... Black Schols:   http://www.macrop...

Basically what I am trying to do is adjust the Beta of a security to the beta of the option using that options delta. I believe that the equation is:   Beta of Underlying / (Delta / Option Price Per BS) = Beta of Option Where: Beta of Underlying = coefficient to % change in market in relation to the...