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Option Risk Management Copyright © 2000 – 2006 Investment Analytics 1 Agenda Option sensitivity factors Delta Delta hedging Option time value Gamma and leverage Volatility…

Economy & Finance Option greeks

1. © 2004 South-Western Publishing1 Chapter 7 Option Greeks 2. 2 Outline  Introduction  The principal option pricing derivatives  Other derivatives  Delta neutrality…

Documents © 2002 South-Western Publishing 1 Chapter 7 Option Greeks.

Slide 1 Slide 2 © 2002 South-Western Publishing 1 Chapter 7 Option Greeks Slide 3 2 Outline Introduction The principal option pricing derivatives Other derivatives Delta…

Documents Delta P.A.P.

Delta Right 18 Scissors Pass Delta Left 19 Scissors Pass Delta Right 18 Switch Pass Delta Left 19 Switch Pass Delta Right 19 Money Delta Left 18 Money