In this article, I will review some option pricing approximations that can be useful to verify the results given by the pricer you just implemented or to answer some interview questions. Here are the points I am going to tackle : Basic At-The-Money option approximation Examples Other approximations Negative volatility ?? Basic ATM approximation The … Continue reading Useful option pricing approximations
This is a question frequently asked during technical interviews. I will try to answer it through this short article giving examples and the logic behind them. Here are the main points I deal with here: Reminder: Gamma and Theta Black Scholes vs Real World Vertical Spread Conclusion - Smile skew Gamma Gamma is defined as … Continue reading How to be Gamma and Theta positive?