вторник, 15 февраля 2022 г.

Timma, Greeks, Tamma

 Timma = dTamma/dT

https://www.wolframalpha.com/input?i=diff%28%28-0.5*v*s%29*%28-1.0%2F%282.0*p*Power%5Bt%2C1.5%5D%29+*+exp%28-0.5*%28%28a%2B0.5*v*v*t%29%2F%28v*Power%5Bt%2C0.5%5D%29%29*%28%28a++%2B0.5*v*v*t%29%2F%28v*Power%5Bt%2C0.5%5D%29%29%29*%281.0-%28a%2B0.5*v*v*t%29*%28a-0.5*v*v*t%29%2F%28v*v*t%29%29%29%29+

without gtfactor = -0.5 * sigma^2 * S^2;

diff((-0.5*v*s)*(-1.0/(2.0*p*Power[t,1.5]) * exp(-0.5*((a+0.5*v*v*t)/(v*Power[t,0.5]))*((a  +0.5*v*v*t)/(v*Power[t,0.5])))*(1.0-(a+0.5*v*v*t)*(a-0.5*v*v*t)/(v*v*t)))) 

Tamma/dS = TimmaS
diff((-0.5*v*s)*(-1.0/(2.0*p*Power[t,1.5]) * exp(-0.5*((Log(s/K)+0.5*v*v*t)/(v*Power[t,0.5]))*((Log(s/K)+0.5*v*v*t)/(v*Power[t,0.5])))*(1.0-(Log(s/K)+0.5*v*v*t)*(Log(s/K)-0.5*v*v*t)/(v*v*t)))) 

diff((-0.5*v*s)*(-1.0/(2.0*P*Power[t,1.5]) * exp(-0.5*((Log(s/k)+0.5*v*v*t)/(v*Power[t,0.5]))*((Log(s/k)+0.5*v*v*t)/(v*Power[t,0.5])))*(1.0-(Log(s/k)+0.5*v*v*t)*(Log(s/k)-0.5*v*v*t)/(v*v*t))))



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