| greekneutrality {GUIDE} | R Documentation |
Calculate the hedge positions for achieving greek(s) neutrality for European Call/Put.
Description
Function to calculate the hedge positions for achieving greek(s) neutrality for European Call/Put.
Usage
greekneutrality()
Details
The user inputs are as follows:
Positions: entered with comma separation in case of multiple options. Short positions are entered with a '-' sign prefixed. e.g. -1000, -500, -2000, -500
Deltas: entered with comma separation in case of multiple options. e.g. 0.5, 0.8, -0.4, 0.7
Gammas: entered with comma separation in case of multiple options. e.g. 2.2, 0.6, 1.3, 1.8
Vegas: entered with comma separation in case of multiple options. e.g. 1.8, 0.2, 0.7, 1.4
Type of Neutrality desired: chosen amonst Delta, Delta and Gamma, Delta and Vega, Delta Gamma and Vega
Delta, Gamma, Vega of traded option 1: entered with comma separation in case of multiple options. e.g. 0.6, 1.5, 0.8
Delta, Gamma, Vega of traded option 2:entered with comma separation in case of multiple options. e.g. 0.1, 0.5, 0.6
Value
Positions in the underlying or traded option(s) to achieve the desired greek neutrality
Author(s)
S Subramanian <ssubramanian@sssihl.edu.in>
References
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.