The mathematics of options : quantifying derivative price, payoff, probability, and risk /: quantifying derivative price, payoff, probability, and risk. (2017)
- Record Type:
- Book
- Title:
- The mathematics of options : quantifying derivative price, payoff, probability, and risk /: quantifying derivative price, payoff, probability, and risk. (2017)
- Main Title:
- The mathematics of options : quantifying derivative price, payoff, probability, and risk
- Further Information:
- Note: Michael C. Thomsett.
- Other Names:
- Thomsett, Michael C
- Contents:
- Foreword; Preface; Contents; List of Figures; List of Tables; Introduction-The Variability of Derivatives Trading; 1 Trading Goals and Objectives; Basic Probability to Quantify Risk; The Flaws of Implied Volatility (IV); Articulating Risk with Technical Signals; Probability in an Uncertain World; Bollinger Bands to Create a Probability Matrix; Speculation Versus Hedging; 2 The Role of Fundamentaland Technical Analysis; Analyzing the Impact of Fundamental Volatility; Calculating Historical Volatility; The Problem with Implied Volatility. Fundamental Volatility Correlated to Stock Price BehaviorThe Effect of Fundamental Volatility on Options Risk; The Proximity Factor; 3 Pricing of the Option; PutCall Parity; Upper and Lower Bounds; Intrinsic Value; Time Value; Extrinsic Value (Volatility); Estimating Delta; Estimating Gamma; Calculating Relative Option Yield; 4 The Dividend Effect; Dividends as Fundamental Indicators; Dividends in Option Trading Decision-Total Return; The Lumpy Dividend Effect; Additional Dividend Calculations; 5 Return Calculations; Breakeven Rate of Return. Basis for Calculation: Stock Price or Premium at RiskReturn on Investment; The Rate of Return Calculation; Return on Covered Calls Trades; Calculating Covered Call Losses; Calculating Adjusted Basis in Stock for Covered Call Trades; Uncovered Option Returns; Annualizing a Stock's Return; 6 Strategic Payoff: The Single-Option Trade; The Probability of Option Payoff; Risk and Payoff Calculations: LongForeword; Preface; Contents; List of Figures; List of Tables; Introduction-The Variability of Derivatives Trading; 1 Trading Goals and Objectives; Basic Probability to Quantify Risk; The Flaws of Implied Volatility (IV); Articulating Risk with Technical Signals; Probability in an Uncertain World; Bollinger Bands to Create a Probability Matrix; Speculation Versus Hedging; 2 The Role of Fundamentaland Technical Analysis; Analyzing the Impact of Fundamental Volatility; Calculating Historical Volatility; The Problem with Implied Volatility. Fundamental Volatility Correlated to Stock Price BehaviorThe Effect of Fundamental Volatility on Options Risk; The Proximity Factor; 3 Pricing of the Option; PutCall Parity; Upper and Lower Bounds; Intrinsic Value; Time Value; Extrinsic Value (Volatility); Estimating Delta; Estimating Gamma; Calculating Relative Option Yield; 4 The Dividend Effect; Dividends as Fundamental Indicators; Dividends in Option Trading Decision-Total Return; The Lumpy Dividend Effect; Additional Dividend Calculations; 5 Return Calculations; Breakeven Rate of Return. Basis for Calculation: Stock Price or Premium at RiskReturn on Investment; The Rate of Return Calculation; Return on Covered Calls Trades; Calculating Covered Call Losses; Calculating Adjusted Basis in Stock for Covered Call Trades; Uncovered Option Returns; Annualizing a Stock's Return; 6 Strategic Payoff: The Single-Option Trade; The Probability of Option Payoff; Risk and Payoff Calculations: Long Calls and Puts; The Long Call; The Long Put; Risk and Payoff Calculations: Uncovered Calls; ITM Uncovered Calls; OTM Uncovered Calls; Risk and Payoff Calculations: Uncovered Puts. Risk and Payoff Calculations: Covered CallsRisk and Payoff Calculations: Ratio Writes and the Covered Call; Risk and Payoff Calculations: Covered Put; Recalculation of Net Basis in Rolled Short Options; 7 Strategic Payoff: Spreads; Risk and Payoff Calculations: Vertical Bull Spreads; Bull Put Credit Spread; Bull Call Debit Spread; Bear Put Debit Spread; Bear Call Credit Spread; Risk and Payoff Calculations: Condors and Butterflies; Condor; Iron Condor; Long Butterfly; Short Butterfly; Iron Butterfly; Risk and Payoff Calculations: Synthetics; Synthetic Long Stock; Synthetic Short Stock. Risk and Payoff Calculations: Horizontal SpreadsBull Calendar Spreads; Installment Calendar Spreads; Risk and Payoff Calculations: Diagonal Spreads; 8 Strategic Payoff: Straddles; Risk and Payoff Calculations: Straddles; Long Straddles; Short Straddles; Covered Straddles; Risk and Payoff Calculations: Strangles; Long Strangles; Short Strangles; Long Gut Strangle; Short Gut Strangle; Risk and Payoff Calculations: Strips and Straps; Strip; Strap; Strategic Selection of Strikes; 9 Probability and Risk; Abnormal Distribution of Options Trading; Managing Abnormal Probability. … (more)
- Publisher Details:
- Cham : Palgrave Macmillan
- Publication Date:
- 2017
- Extent:
- 1 online resource
- Subjects:
- 332
Finance
Options (Finance) -- Mathematics
BUSINESS & ECONOMICS -- Finance
Finance
Financial engineering
Options (Finance)
Risk management
Finance
Risk management
Financial engineering
Business & Economics -- Insurance -- Risk Assessment & Management
Management & management techniques
Electronic books - Languages:
- English
- ISBNs:
- 9783319566351
3319566350 - Related ISBNs:
- 9783319566344
3319566342 - Notes:
- Note: Includes bibliographical references and index.
Note: Print version record. - Access Rights:
- Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
- Access Usage:
- Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD.DS.357743
- Ingest File:
- 01_320.xml