How to Calculate Options Prices and Their Greeks: Exploring the Black Scholes Model from Delta to Vega

Index

1. 15% delta rule
2. 30% delta rule
3.  
4. American options
5. annualised volatility see historical volatility
6. at the money
   1. definition
   2. butterfly, estimation
   3. delta
   4. delta distribution
   5. delta valuation
   6. theta
   7. vega and
7. at the money spread, approximation
8. at the money straddle
   1. calculation using Black and Scholes formula
   2. delta distribution in relation to
   3. theta
9.  
10. Bell curve see normal standard distribution
11. Black and Scholes model
    1. gamma values
    2. logarithmic scale in
    3. at the money straddle calculation
    4. shortcomings of
    5. variation in trading days
    6. volatility in
12. Boxes (sum of call spread and put spread of strikes)
    1. application in real market
13. bull/bear spread
14. butterfly
    1. at the money values, estimation
    2. boundaries
    3. call
    4. costs
    5. definition
    6. distribution
    7. Greeks for
    8. out of the money value
    9. put
    10. put call parity
    11. set up with puts and calls
    12. short
    13. straddle-strangle (‘iron fly’)
    14. as strategic play
    15. theta for
    16. time to maturity and
    17. valuation
    18. vega for
    19. volatility and
15.  
16. call
    1. butterfly
    2. horizontal spread
    3. in the money
    4. synthetic
    5. vega for
17. call spread
    1. delta of
18. call/put spread, horizontal
19. Cauchy distribution
20. Charm
21. collar (risk reversal; fence)
22. colour
23. conversion
24. convexity
25. costs
    1. butterfly
26. covered call writing
27. covered writing
28.  
29. delta
    1. 15% rule
    2. 20–80 region
    3. 30% rule
    4. at the money
    5. boundaries of
    6. for butterflies
    7. of call spread
    8. change of an option, gamma and
    9. change of option value through
    10. changes in time
    11. definition
    12. at different maturities
    13. at different volatilities
    14. distribution, at the money straddle and
    15. dynamic
    16. formula for ...