Option Greeks and Taylor Series
3 years ago
12
In this video we look at how the Greeks can be used to approximate the Black-Scholes model giving us a way to estimate risk and P&L without using the full model. We will also consider higher order corrections leading to Taylor series representations. Finally we will consider cases where the Greeks and Taylor series provide poor approximations.
Earlier Greeks video: https://youtu.be/pa2zNZ3FHH8
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