Following the first article of the series in which we analyzed the greeks of a Binary option, in this second part of the series we would like to introduce Asian options and their greeks. Asian options are part of a broader macro-class of exotic derivatives named Path Dependent Derivatives; in Read more…
How does the Delta of a lookback option behave? What is Cross-Gamma? Is the Vega of a digital option ever negative? And furthermore, how do these exotic greeks (“greexotics) evolve as time passes and implied volatility changes? In this series of articles, we would like to give the reader a Read more…
“Option Greeks” is the common name for the sensitivities in price of options or, in general, of derivatives and portfolios of derivatives, with respect to different factors, such as spot price of the underlying, implied volatility, risk-free interest rate, etc. Each Greek represents the ratio between the change in price Read more…
The aim of this article is to walk the reader through the implementation of the Black-Scholes model for option pricing in VBA. Firstly, we’ll recap the theoretical framework. Secondly, we’ll provide the code to put the theory into practice and show some basic (but hopefully relevant) applications. The Theory – Read more…
Introduction Volatility is a key feature of financial markets. It is commonly used as a measure for risk and is a common an indicator of the investors’ fear and concern about the future. While higher volatility means bigger profits and losses in a directional strategy (one which bets on a Read more…
In our Special Report (https://bsic.it/2013/10/19/bsic-special-report-twitter-ipo/), we analyzed Twitter’s characteristics, comparables and ratios. We valued Twitter shares at approximately 25$, really close to the final offering price (26$). After the IPO, Twitter’s share price dramatically soared to 45$, an unbelievable 72% surge: Analysts seem to agree with our view, and Mr. Read more…