Course Detail()

This is an e-learning programme.
Upon successful registration and payment, you will be notified via email within 3 working days on your login ID, password and user instructions to access this programme.
(The programme is valid for 6 months from the date of purchase.)
No cancellation or change in programme enrolment once the enrolment is successful.

Programme Objectives

On completion of this tutorial, you will be able to:

Recognize the importance of delta and gamma in option position management and hedging
Calculate delta and gamma in Excel using the Black-Scholes formula, the binomial option pricing model, or Monte Carlo simulation

Programme Overview

Delta and gamma are key measures of option sensitivity that are crucial in option portfolio management and hedging. This tutorial provides an overview of the different approaches to measuring delta and gamma, including the Black-Scholes model, binomial option pricing model, and Monte Carlo simulation.

Programme Outline

Topic 1: Sensitivities & Option Positions

Delta Values
Position Deltas vs. Product Deltas
Gamma Values
Gamma Ranges
Visualizing Delta & Gamma
Aggregate Positions

Topic 2: Calculating Delta & Gamma

Calculating Delta from a Model
Delta of Options on Income-Paying Assets
Black-Scholes: Gamma
Binomial Option Pricing Model: Delta & Gamma (European Option)
Binomial Option Pricing Model: Delta & Gamma (American Option)
Monte Carlo Methods: Delta & Gamma
Finding Delta & Gamma in Monte Carlo Valuation
Finding Delta & Gamma in Monte Carlo Valuation: Example

Prerequisite Knowledge
Option Valuation – American Options

Tutorial Level: Intermediate
Tutorial Duration: 60 minutes

Intended For

Schedule & Fees

Testimonial

Funding

No funding Available!

Programme Facilitator(s)

Recognize the importance of delta and gamma in option position management and hedging
Calculate delta and gamma in Excel using the Black-Scholes formula, the binomial option pricing model, or Monte Carlo simulation