New User Special Price Expires in

Let's log you in.

Sign in with Facebook


Don't have a StudySoup account? Create one here!


Create a StudySoup account

Be part of our community, it's free to join!

Sign up with Facebook


Create your account
By creating an account you agree to StudySoup's terms and conditions and privacy policy

Already have a StudySoup account? Login here

Week 11 Finance

by: D S

Week 11 Finance FIN 500

Introduction to Finance
Adam Clark-Joseph

Almost Ready


These notes were just uploaded, and will be ready to view shortly.

Purchase these notes here, or revisit this page.

Either way, we'll remind you when they're ready :)

Preview These Notes for FREE

Get a free preview of these Notes, just enter your email below.

Unlock Preview
Unlock Preview

Preview these materials now for free

Why put in your email? Get access to more of this material and other relevant free materials for your school

View Preview

About this Document

Options Greek overview
Introduction to Finance
Adam Clark-Joseph
Class Notes
25 ?




Popular in Introduction to Finance

Popular in Finance

This 3 page Class Notes was uploaded by D S on Monday November 30, 2015. The Class Notes belongs to FIN 500 at University of Illinois at Urbana-Champaign taught by Adam Clark-Joseph in Summer 2015. Since its upload, it has received 32 views. For similar materials see Introduction to Finance in Finance at University of Illinois at Urbana-Champaign.


Reviews for Week 11 Finance


Report this Material


What is Karma?


Karma is the currency of StudySoup.

You can buy or earn more Karma at anytime and redeem it for class notes, study guides, flashcards, and more!

Date Created: 11/30/15
Introduction to Finance Week 11 Professor ClarkJoseph University of Illinois Urbana Champaign November 30 2015 1 Option Greeks allows us to look at th sensitivity of options pices to changes in relevant parameters variable meta arrow price looking at the scale pictures for calls changes in call or puts option values things are converging to the payofl 7 claim can be made that almost scaled volatility based upon the time decreasing increasing volatility at time today7 amount of lots of time VET volatility 2 Greeks motivation dynamics rebalancer Name Symbol Equation Summary Delta A A share price 82V movements Gamma F F 882 changes in the V6 hDelta ga 1 1 80 c anges in r volatility Rho p p 2 changes in risk free rate Theta 6 changes in time Elasticity e 5 g gtIlt change in option price per unit of change in stock price price of option underlying When in the money binomial tree 6 CLT BSM doesn t really work at the tails out of the money yet that is the area that money markers enjoy this is due to the fact that people nd it dif cult or make it such that you can overprice people and make a pro t why isn t there a Greek for changes in the Strike Price this parameter tends not to change SO and K change predictability taking 8K not as useful but a good exercise rf slightly more interesting since it has raised quite a bit in the past couple months 21 Delta A changes in price of an instrument portfolio resulting from a one unit change in the price of the underlying instrument or rate A number of shares of stock will come from replicating portfolio in path dependent option nding partials is more dif cult had a discussion that for Delta hedging to work need the ability to rebabalance continuously which is impractical NOTE hit Taylor s theorem hard for this 1 partial ff of the actually F Analytical formula for Delta in BSM basically just looks like an S on the curve in relation to the upward exponential trending options price Aczg gzNd1Apg Nd1 1 hedge ratio 7 Why use theoretical pricing model implicit leverage mutual funds loop holes for leveraging up how much exposure can you get buying hedging the options Why are there not any rules against option for 401K Taylor bounded idea that factorial grows faster in most cases 2quot 1 so bounded by n 14 15 toy example that shoes that Delta is a great local measure xed convexity for delta take a look at the out of the money convexity curve short side straddle position undertnad the importance of changing delta i from neg to positive delta is good for small movements 22 Gamma F throw in curvative ie the 2nd order taylor approx econ intuition formality if you want to approx risk variability gamma lt 0 changes in instrument portfolio value will be more adverse than indicated by delta gamma gt change in instrument value will be more favorable than indicated by delta note its te same for both puts and calls F 82V ed2 W maqs kaxCZTIE now have them in a taylor expansion and call it a day the gamma of a stock is zero since delta would be 1 make sure you know how to do the sample interview question even though its easy look at slide 1124 in cse you forget Delta and Gamma summarize market risk in the position look at the pictures Why would you not delta and gamma hedge 23 Vega V change in value resulting from one unit change in volatility this was what the hw assignment was referring to intuitively some relation to Gamma7 its easy but boring algebra able to get exactly why is there so much symmetry among put and call Random Paradox Stieglitz Transform look this up time changes shrinking volatility 24 Theta 9 8V 9 w time derivative Why include F with respect to price but not include 2nd order for other terms Brownian motion sqrtt 1 is order gt 1 order don t really pursue the discrepancy 25 Rho 0 only really used for euro dollars others not that interesting 26 Elasticity 5 useful for returns analysis Delta Hedging look at RS notes on this given that it is important and yet we ve been able to do it already


Buy Material

Are you sure you want to buy this material for

25 Karma

Buy Material

BOOM! Enjoy Your Free Notes!

We've added these Notes to your profile, click here to view them now.


You're already Subscribed!

Looks like you've already subscribed to StudySoup, you won't need to purchase another subscription to get this material. To access this material simply click 'View Full Document'

Why people love StudySoup

Bentley McCaw University of Florida

"I was shooting for a perfect 4.0 GPA this semester. Having StudySoup as a study aid was critical to helping me achieve my goal...and I nailed it!"

Janice Dongeun University of Washington

"I used the money I made selling my notes & study guides to pay for spring break in Olympia, Washington...which was Sweet!"

Jim McGreen Ohio University

"Knowing I can count on the Elite Notetaker in my class allows me to focus on what the professor is saying instead of just scribbling notes the whole time and falling behind."

Parker Thompson 500 Startups

"It's a great way for students to improve their educational experience and it seemed like a product that everybody wants, so all the people participating are winning."

Become an Elite Notetaker and start selling your notes online!

Refund Policy


All subscriptions to StudySoup are paid in full at the time of subscribing. To change your credit card information or to cancel your subscription, go to "Edit Settings". All credit card information will be available there. If you should decide to cancel your subscription, it will continue to be valid until the next payment period, as all payments for the current period were made in advance. For special circumstances, please email


StudySoup has more than 1 million course-specific study resources to help students study smarter. If you’re having trouble finding what you’re looking for, our customer support team can help you find what you need! Feel free to contact them here:

Recurring Subscriptions: If you have canceled your recurring subscription on the day of renewal and have not downloaded any documents, you may request a refund by submitting an email to

Satisfaction Guarantee: If you’re not satisfied with your subscription, you can contact us for further help. Contact must be made within 3 business days of your subscription purchase and your refund request will be subject for review.

Please Note: Refunds can never be provided more than 30 days after the initial purchase date regardless of your activity on the site.