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Calculating Option Greeks using Black-Scholes with Python

Yes, on this channel we’ve used the Black-Scholes formula to calculate the price of a European option in Python. But today let’s have a go at using the Black-Scholes model to compute the sensitivities of this option price. The sensitivities of an option price with respect to the Black-Scholes model parameters are called termed the ‘greeks’. In this video we will implement the closed form solutions for a European call & put option as determined by the Black-Scholes model. Here we will implement the option greeks; delta, gamma, vega, theta and rho, and compare our computed values to the well-known Black-Scholes module py_vollib. ★ ★ Code Available on GitHub ★ ★ GitHub: https://github.com/TheQuantPy Specific Tutorial Link: https://github.com/TheQuantPy/youtube... 00:00 Intro 03:22 Delta 06:00 Gamma 08:06 Vega 09:45 Theta 11:50 Rho 13:30 "Fit for use" Vega, Theta, Rho 15:20 Confirming greeks with py_vollib module ★ A data driven path to getting a job in Quant Finance https://www.quantpykit.com/ ★ QuantPy GitHub Collection of resources used on QuantPy YouTube channel. https://github.com/thequantpy Disclaimer: All ideas, opinions, recommendations and/or forecasts, expressed or implied in this content, are for informational and educational purposes only and should not be construed as financial product advice or an inducement or instruction to invest, trade, and/or speculate in the markets. Any action or refraining from action; investments, trades, and/or speculations made in light of the ideas, opinions, and/or forecasts, expressed or implied in this content, are committed at your own risk an consequence, financial or otherwise.