re: Can someone with knowledge - 4 gawebof Warrant gaweb, sorry for being aggro. But it is you who are wrong even if only just wrong.
You said >>>
its the change in the value of an option for a 1-percentage point increase in implied volatility
<<<
No it is
"the rate of change of the value of the warrant with respect to the volatility of the underlying asset" From "Options, Futures and Other Derivates" by John C Hull page 327 4th ed.
Not the implied vol, the vol of the underlying asset, which is the historic vol.
- Forums
- ASX - General
- Can someone with knowledge of Warrants explain
Can someone with knowledge of Warrants explain, page-24
-
- There are more pages in this discussion • 9 more messages in this thread...
You’re viewing a single post only. To view the entire thread just sign in or Join Now (FREE)