Calculating Option Greeks using Black-Scholes with Python
Yes, on this channel we’ve used the Black-Scholes formula to calculate the price of a European option in Python. But today let’s have a go at using the Black-Scholes model to compute the sensitivities of this option price.
The sensitivities of an option price with respect to the Black-Scholes model parameters are called termed the ‘greeks’. In this video we will implement the closed form solutions for a European call & put option as determined by the Black-Scholes model. Here we will implement the option greeks; delta, gamma, vega, theta and rho, and compare our computed values to the well-known Black-Scholes module py_vollib.
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00:00 Intro
03:22 Delta
06:00 Gamma
08:06 Vega
09:45 Theta
11:50 Rho
13:30 "Fit for use" Vega, Theta, Rho
15:20 Confirming greeks with py_vollib module
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