elle
(Elle)
#1
Chapter 17 addresses the valuation of single derivatives with European or American
exercise based on a single underlying risk factor; again, a generic and two specialized
classes represent the major building blocks. The generic class allows the estimation
of the Delta and the Vega independent of the option type.
Chapter 18 is about the valuation of possibly complex derivatives portfolios with
multiple derivatives based on multiple, possibly correlated underlyings; a simple
class for the modeling of a derivatives position is presented as well as a more
complex class for a consistent portfolio valuation.
Chapter 19 uses the DX library developed in the other chapters to value and manage a
portfolio of options on the VSTOXX volatility index.
[ 60 ]
Cf. Bittman, James (2009): Trading Options as a Professional (McGraw Hill, New York) for an introduction to and
a comprehensive overview of options trading and related topics like market fundamentals and the role of the so-called
Greeks in options risk management.
