Sunday, May 18, 2008

The Black Scholes and the Greeks

These values would be less valid if the distance between the lower and higher strike is large percentage of the stock price. E.g. the stock is trading at USD 1.50 and the lower and higher strikes are 1 and 2 then the option may be too deep in or out of the money to have BS working correctly. If you look at the Delta or the theoretical Greeks values, they are meaningless.

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Thanking you.
Best regards,
Suminda Sirinath Salpitikorala Dharmasena B.Sc. (Hon.) Comp. & I.S., Lon.

The intuitive mind is a sacred gift and the rational mind is a faithful servant. We have created a society that honours the servant and has forgotten the gift. - Albert Einstein

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