Option GREEKS Calculation in PYTHON
In this video we'll calculate all the Option Greeks in Python, under the Black and Scholes Model.
From Wikipedia:
"The Greeks" measure the sensitivity of the value of a derivative product or a financial portfolio to changes in parameter values while holding the other parameters fixed. They are partial derivatives of the price with respect to the parameter values.
The Greeks are important not only in the mathematical theory of finance, but also for those actively trading. Financial institutions will typically set (risk) limit values for each of the Greeks that their traders must not exceed.
00:00 - Introduction
01:05 - Download stock data
03:00 - Stock volatility
04:50 - Plot Stock price and volatility
08:30 - B&S option price
11:06 - B&S option Greeks