option duration option, another, replace, 100

yuoska

there is an option duration after all! and it is

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!

bkballa

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.

strikethree

Option duration is mentioned in 30f - fixed income portfolio management II.

PalacioHill

It it that this is applicable to I/R option only ?

mik82

Not only I/R. FX derivaties too

<need a break>

Analyze_This

hellscream Wrote:
-------------------------------------------------------
> Not only I/R. FX derivaties too

But no duration for FX !

bboo

AMA Wrote:
-------------------------------------------------------
> 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.