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).