第10讲 希腊字母和隐含波动率.pdfVIP

CFA Level Ⅱ: Derivatives 主讲人：Evelyn 高 希腊字母和隐含波动率 Option Greeks and Implied Volatility Valuation of Contingent Claims • Binomial Option Valuation Model • Black–Scholes–Merton Option Valuation Model • Black Option Valuation Model • Option Greeks and Implied Volatility ü Delta 、Gamma üTheta 、Vega 、Rho ü Implied Volatility Option Delta • Delta: the relationship between the option price and the price of the underlying asset. • delta = Change in option price / Change in underlying price deltacall = (C1 −C0