convert delta strike into a numerical

xavier73 · February 10th, 2005, 2:12 pm

Hello,from the forum I see that there are formulas to convert the delta strike into numerical (e.g 1.2356).It looks it's already explained in the collector's formulas edited in Wilmott mag march (2004?) but I can't find it.Could you help me and tell where I could find this ressource or direclty the formula if you have it?thank you for your helps

PaperCut · February 13th, 2005, 6:28 pm

Collector (of whom I am a huge fan) has a formula to get strike from delta in an article he wrote in Wilmott Magazine called "Know Your Weapon Part I." I think it was 4th Q of '03.X_call = S * EXP[-NORMSINV(delta_call * EXP((r-b)*T) ) * sigma * SQRT(T) + (b + (sigma^2)/2) * T]X_put = S * EXP[NORMSINV(delta_put * EXP((r-b)*T) ) * sigma * SQRT(T) + (b + (sigma^2)/2) * T]S = underlyingdelta_call, delta_put, sigma, T = self evidentr = forward rateb = r - q, "cost of carry," forward rate minus forward dividend yield

xavier73 · February 14th, 2005, 1:07 pm

Thank you very much for your help

PaperCut · February 14th, 2005, 5:48 pm

You're welcome - anytime. I am not exactly the sharpest guy here, however I do have a ton of useful, practical code and math tricks that Ive used in trading for a long time.

frichetti · February 15th, 2005, 9:04 am

Hi guys,What is this collector you're talking about ? It looks quite handy !!

xavier73 · March 9th, 2005, 8:43 am

the collector seems to think he's Jekyll & HydeSee his web site http://www.espenhaug.com/ he's really fantastic in writting financial articles when he gets nervous.