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!