change in option value to change in strike price

smart0072000in · November 18th, 2006, 6:56 pm

Hi,How do u classify change in option value to change in strike price............Is it some greek.........Regards

ppauper · November 18th, 2006, 7:34 pm

kwok p24kwok just calls it "derivative"see p24

smart0072000in · November 18th, 2006, 9:01 pm

Hi,What is the significanceRegards

Collector · November 19th, 2006, 1:15 pm

At least in Black-Scholes this is equal to discounted risk neutral probability of ending up in-the-money

johnself11 · November 20th, 2006, 7:56 am

well the greeks are all parameters which can change during the life of the option - the underlying, the vol, etc so you can quantify your risk to different fluent market levels..... at least for vanilla options the strike doesnt move so it doesnt have a relevant risk measurement.....