Calculating Option Greeks Using a Spreadsheet (or Python)
3 years ago
22
In answer to a question in the comments, I show how to use a spreadsheet (as well as Python) to calculate the option greeks. This is straightforward. I’ll calculate delta, theta and gamma as an example.
The spreadsheet and Python notebook are both available in the github repo.
Wikipedia article on Greeks: https://en.wikipedia.org/wiki/Greeks_(finance)
Wikipedia article on the Black-Scholes model: https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model
Github: https://github.com/kpmooney/numerical_methods_youtube/tree/master/option_greeks
Donate: http://paypal.me/kpmooney
Tip Jar: https://paypal.me/kpmooney
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