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Options III

In: Capital Market Instruments

Author

Listed:
  • Moorad Choudhry

    (Europe Arad Bank plc)

  • Didier Joannas

    (Thomson Reuters-Risk in North Asia)

  • Gino Landuyt

    (Europe Arad Bank plc)

  • Richard Pereira
  • Rod Pienaar

    (UBS AG prime services)

Abstract

We continue with options in this chapter, with a look at how options behave in response to changes in market conditions. To start we consider the main issues that a market maker in options must consider when writing options. We then review ‘the Greeks’, the measures by which the sensitivity of an option book is calculated. We conclude with a discussion on an important set of interest-rate options in the market, caps and floors.

Suggested Citation

  • Moorad Choudhry & Didier Joannas & Gino Landuyt & Richard Pereira & Rod Pienaar, 2010. "Options III," Palgrave Macmillan Books, in: Capital Market Instruments, edition 0, chapter 19, pages 370-382, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-27938-4_19
    DOI: 10.1057/9780230279384_19
    as

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