duration of option = (options delta x duration of underlying x price of underlying)/price of option
and btw another sneaky formula from bonds is when we want to replace an old bond with a new one..
value of new bond = (Dollar Duration of old bond/Duration of new bond) x 100
imagine we see these on exam day!作者: PalacioHill 时间: 2011-7-11 19:25
It it that this is applicable to I/R option only ?作者: mik82 时间: 2011-7-11 19:25
Not only I/R. FX derivaties too
<need a break>作者: Analyze_This 时间: 2011-7-11 19:25
hellscream Wrote:
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> Not only I/R. FX derivaties too
But no duration for FX !作者: bboo 时间: 2011-7-11 19:25
AMA Wrote:
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> hellscream Wrote:
> --------------------------------------------------
> -----
> > Not only I/R. FX derivaties too
>
> But no duration for FX !
OK. OK. I always take Duration as Delta change. For FX derivatives, FX Delta.作者: bkballa 时间: 2011-7-11 19:25
What page did you find this on of CFA text? ... and is there any mention of option beta?
Edited 1 time(s). Last edit at Monday, May 16, 2011 at 11:29PM by dtrynoski.作者: strikethree 时间: 2011-7-11 19:25
Option duration is mentioned in 30f - fixed income portfolio management II.
