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- Actuary321
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Option - adjusted with delta and gamma
Hi,If my option value = 11,000delta = -6.14 = dV/dSgamma = 3.87What is the option value if the index moves 2%, I mean index moves from 1100 to 1100 * 1.02so dS = 0.02 * 1100does change in option value = Theta * dt + 0.5 * gamma * dS^2does dS^2 = (0.02 * 1100) ^2?
Last edited by Actuary321 on August 30th, 2010, 10:00 pm, edited 1 time in total.
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- Actuary321
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Option - adjusted with delta and gamma
Right I was second guessing the formula because the results looked funny, but that was because of some other error with the data.Thanks