Gamma Gamma neutral (the only way is by taking a position in a traded option O-I/OS N'(<1)e-q(7-) 1 N'(x) /2 √2 TU 來瑞富期貨 期權交易策略實戰介紹
期權交易策略實戰介紹 Gamma ➢Gamma neutral(the only way is by taking a position in a traded option) / 2 ( ) 2 2 2 2 1 '( ) '( 1) / x q T t N x e S T t N d e S − − − = − = − =
rho It measures the sensitivity of the value of a portfolio to interest rates rho =a/ ar rho-K(T-te (-N(d2) rho =-k(T-te r(r-t) 2N(-d2) 來瑞富期貨 期權交易策略實戰介紹
期權交易策略實戰介紹 Rho ( ) ( 2) ( ) ( 2) / ( ) ( ) rho K T t e N d rho K T t e N d rho r r T t p r T t c = − − − = − = − − − − ➢It measures the sensitivity of the value of a portfolio to interest rates