APPLICATIONS OF OPTION PRICING MODELS TO THE MONITORING AND THE MANAGEMENT OF PORTFOLIOS OF DERIVATIVES IN THE REAL WORLD

Mondher Bellalah
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Mondher Bellalah: Université de Cergy-Pontoise, France

Chapter 10 in Derivatives, Risk Management & Value, 2009, pp 439-489 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Chapter OutlineIntroductionOption-Price Sensitivities: Some Specific ExamplesDeltaGammaThetaVegaRhoElasticityMonitoring and Managing an Option Position in Real TimeSimulations and analysis of option price sensitivities using Barone-Adesi and Whaley modelMonitoring and adjusting the option position in real timeMonitoring and managing the deltaMonitoring and managing the gammaMonitoring and managing the thetaMonitoring and managing the vegaThe Characteristics of Volatility SpreadsSummaryAppendix A: Greek-Letter Risk Measures in Analytical ModelsB–S modelBlack's ModelGarman and Kohlhagen's modelMerton's and Barone-Adesi and Whaley's modelAppendix B: The Relationship Between Hedging ParametersAppendix C: The Generalized Relationship Between the Hedging ParametersAppendix D: A Detailed Derivation of the Greek LettersQuestionsReferences

Keywords: Options; Forwards; Futures; Valuation; Hedging; Arbitrage; Speculation; Pricing (search for similar items in EconPapers)
Date: 2009
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