Graphing Greeks for a Basket of Options

[Oxymoron]

What is the best way to deal with such questions? I'm first plotting how I think the delta (or others) will look for each and every option independently at a range of strike prices and summing them up, but I end up second guessing the final result at certain strike prices every time since this process is rather intuitive. Is there an alternative way to go about this?

 

[Mike Lewry]

This sounds like a good approach and should give a suffieciently accurate graph in a reasonable amount of time.

Where you're asked for more than one graph, it might save time to note that a delta graph is just the derivative (ie gradient) of the value graph and that a gamma graph is just the derivative of the delta graph.

 

[Oxymoron]

Where you're asked for more than one graph, it might save time to note that a delta graph is just the derivative (ie gradient) of the value graph and that a gamma graph is just the derivative of the delta graph.

Excellent! Thanks!

 

[Elroy]

What is the best way to deal with such questions? I'm first plotting how I think the delta (or others) will look for each and every option independently at a range of strike prices and summing them up, but I end up second guessing the final result at certain strike prices every time since this process is rather intuitive. Is there an alternative way to go about this?

I think this approach is really only best for portfolios containing different maturities, or for greeks other than delta and gamma. Easier to just smooth the payoff and visually differentiate.

 

[Edwin]

I've been trying out questions involving sketching greeks for Exotic Options e.g Barrier Options and Combinations such as Butterflies. See ACiD, April_2003, q2 (ii).

However, I am really bad at these kind of questions, I don't remember getting close to the model solutions or at-least understanding what they are doing.

I will appreciate your help.

 

[Edwin]

Gotten better at graphing the greeks of Exotic Options and Option Strategies "EXCEPT FOR A BARRIER''?!

Here's a place to check your Greeks;-

http://www.deltaquants.com/option-strategies.html

 

[Oxymoron]

Gotten better at graphing the greeks of Exotic Options and Option Strategies "EXCEPT FOR A BARRIER''?!

Here's a place to check your Greeks;-

http://www.deltaquants.com/option-strategies.html

This is great. Thanks Edwin!