Option greeks: charm, color, speed, dual delta, dual gamma?!

[IlyaKEightSix]

http://en.wikipedia.org/wiki/Greeks_(finance)

I've never even heard of those things before today. Anyone out there in the industry or MFE programs have some experience with them and what they do? This stuff looks deep.

 

[Bastian Gross]

Hello IylaKeightSix

Watch this thread: Show me the code! It seems to be deep, but it's pretty easy

 

[Andy Nguyen]

Options traders use them. For some explanation, read http://www.espenhaug.com/KnowYourWeapon.pdf

 

[cw202]

Popularized in FX trading.

More detail can be found in this book:

Foreign Exchange Risk
Hakala, J. and U. Wystup (2002),
Risk Publications, London.


http://www.amazon.com/Foreign-Exchange-Risk-Instruments-Strategies/dp/1899332375/

or this article:

Efficient Computation of Option Price Sensitivities
Using Homogeneity and other Tricks
Reiss, O. and U. Wystup (2001),
The Journal of Derivatives, 9(2), pp. 41– 53