"Product value scenarios" area in the "Fair Value Calculator (Option)"
In the "Product value scenarios" area, the following values are calculated on the basis of the parameters for various scenarios of the underlying performance:
Field | Description |
|---|---|
Market value | In this row, you see various possible prices of the underlying. The option data is calculated for each price shown in the top row. |
Volatility | The volatility of the option in percent for the corresponding price and the currently set parameters. |
Option value | The fair value of the option for the corresponding price according to Black/Scholes for the currently specified parameter. |
Delta | The delta of the option for the corresponding price and the currently specified parameters. |
Gamma | The gamma of the option for the corresponding price and the currently specified parameter. |
Vega | The vega of the option for the corresponding price and the currently specified parameter. |
Theta | The theta of the option for the corresponding price and the currently specified parameters. |
Rho | The rho of the option for the corresponding price and the currently specified parameter. |
For more information about this indicator, see the Stock Exchange Glossary (in German only).