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!

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.

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.