The Greeks in Quantitative Analysis

Paul Wilmott on Quantitative Finance, Chapter 7, The Greeks

Black Scholes (Greeks) Applications

Black-Scholes versus Binomial

American Vs. European Options


HV and IV: Historical (realized) Volatility and Implied (forcasted) Volatility
Implied Volatility Explained


meet the greeks: delta, gamma, theta, vega



“As an in-the-money call option nears expiration, it will approach a delta of 1.00, and as an in-the-money put option nears expiration, it will approach a delta of -1.00.”

Delta One
“Delta One products are financial derivatives that have no optionality and as such have a delta of (or very close to) one – meaning that for a given instantaneous move in the price of the underlying asset there is expected to be an identical move in the price of the derivative. Delta one products can sometimes be synthetically assembled by combining options. For instance, you can be long a forward on WTI crude oil at price X by buying a X strike call and selling a X strike put.[1] Delta one products often incorporate a number of underlying securities and as such give the holder an easy way to gain exposure to a basket of securities in a single product.”