OPEN-SOURCE SCRIPT
Log Contract Ln(S/X) [Loxx]
已更新
A log contract, first introduced by Neuberger (1994) and Neuberger (1996), is not strictly an option. It is, however, an important building block in volatility derivatives (see Chapter 6 as well as Demeterfi, Derman, Kamal, and Zou, 1999). The payoff from a log contract at maturity T is simply the natural logarithm of the underlying asset divided by the strike price, ln(S/ X). The payoff is thus nonlinear and has many similarities with options. The value of this contract is (via "The Complete Guide to Option Pricing Formulas")
L = e^(-r * T) * (log(S/X) + (b-v^2/2)*T)
The delta of a log contract is
delta = (e^(-r*T) / S)
and the gamma is
gamma = (e^(-r*T) / S^2)
Inputs
S = Stock price.
K = Strike price of option.
T = Time to expiration in years.
r = Risk-free rate
c = Cost of Carry
V = Variance of the underlying asset price
cnd1(x) = Cumulative Normal Distribution
nd(x) = Standard Normal Density Function
convertingToCCRate(r, cmp ) = Rate compounder
Numerical Greeks or Greeks by Finite Difference
Analytical Greeks are the standard approach to estimating Delta, Gamma etc... That is what we typically use when we can derive from closed form solutions. Normally, these are well-defined and available in text books. Previously, we relied on closed form solutions for the call or put formulae differentiated with respect to the Black Scholes parameters. When Greeks formulae are difficult to develop or tease out, we can alternatively employ numerical Greeks - sometimes referred to finite difference approximations. A key advantage of numerical Greeks relates to their estimation independent of deriving mathematical Greeks. This could be important when we examine American options where there may not technically exist an exact closed form solution that is straightforward to work with. (via VinegarHill FinanceLabs)
Things to know
Only works on the daily timeframe and for the current source price.
You can adjust the text size to fit the screen
L = e^(-r * T) * (log(S/X) + (b-v^2/2)*T)
The delta of a log contract is
delta = (e^(-r*T) / S)
and the gamma is
gamma = (e^(-r*T) / S^2)
Inputs
S = Stock price.
K = Strike price of option.
T = Time to expiration in years.
r = Risk-free rate
c = Cost of Carry
V = Variance of the underlying asset price
cnd1(x) = Cumulative Normal Distribution
nd(x) = Standard Normal Density Function
convertingToCCRate(r, cmp ) = Rate compounder
Numerical Greeks or Greeks by Finite Difference
Analytical Greeks are the standard approach to estimating Delta, Gamma etc... That is what we typically use when we can derive from closed form solutions. Normally, these are well-defined and available in text books. Previously, we relied on closed form solutions for the call or put formulae differentiated with respect to the Black Scholes parameters. When Greeks formulae are difficult to develop or tease out, we can alternatively employ numerical Greeks - sometimes referred to finite difference approximations. A key advantage of numerical Greeks relates to their estimation independent of deriving mathematical Greeks. This could be important when we examine American options where there may not technically exist an exact closed form solution that is straightforward to work with. (via VinegarHill FinanceLabs)
Things to know
Only works on the daily timeframe and for the current source price.
You can adjust the text size to fit the screen
發布通知
Removed unused inputs發布通知
fixed errors開源腳本
在真正的TradingView精神中，這個腳本的作者以開源的方式發佈，這樣交易員可以理解和驗證它。請向作者致敬！您可以免費使用它，但在出版物中再次使用這段程式碼將受到網站規則的約束。 您可以收藏它以在圖表上使用。
Public Telegram Group, t.me/algxtrading_public
VIP Membership Info: patreon.com/algxtrading/membership
VIP Membership Info: patreon.com/algxtrading/membership
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。