Download PDF Introduction “When I see a bubble forming, I rush in to buy, adding fuel to the fire.” This is a famous quote by George Soros. It probably inspired Jarrow and Kwok to write their paper, Inferring Financial Bubbles from Option Data where they attempt to take advantage of 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…
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…