An Option Greeks Primer — Building Intuition with Delta Hedging and Monte Carlo Simulation Using Excel

Part I. Refresher

1. Introduction: Context
Jawwad Ahmed Farid

2. Delta and Gamma
Jawwad Ahmed Farid

Part II. Delta Hedging

3. A Simulation Model for Delta Hedging — European Call Options
Jawwad Ahmed Farid

4. Delta Hedging European Put Options
Jawwad Ahmed Farid

5. Calculating Cash P&L for a Call Option
Jawwad Ahmed Farid

6. Calculating Cash P&L for a Put Option
Jawwad Ahmed Farid

Part III. Building Surfaces in Excel

7. Understanding Volatility
Jawwad Ahmed Farid

8. Building Volatility Surfaces
Jawwad Ahmed Farid

9. Forward Implied Volatilities
Jawwad Ahmed Farid

Part IV. Hedging Higher-Order Greeks

10. Vega, Volga and Vanna
Jawwad Ahmed Farid

11. Hedging Higher-Order Greeks
Jawwad Ahmed Farid

12. Reviewing the Solver Solution
Jawwad Ahmed Farid

Part V. Applications

13. Rebalancing, Implied Vol and Rho
Jawwad Ahmed Farid

14. Understanding Theta
Jawwad Ahmed Farid

15. Option Prices and Time to Expiry
Jawwad Ahmed Farid

Avainsanat: Finance, Risk Management, Business Finance, Investments and Securities, Business Mathematics, Capital Markets, Corporate Finance