Taylor Series and Option Greeks

In this video we look at how the Greeks can be used to approximate the Black-Scholes model giving us a way to estimate risk and P&L without using the full model. We will also consider higher order corrections leading to Taylor series representations. Finally we will consider cases where the Greeks and Taylor series provide poor approximations.

Github: https://github.com/kpmooney/numerical_methods_youtube/blob/master/option_greeks/Taylor%20Series%20and%20Option%20Greeks.ipynb

Earlier Greeks video: https://youtu.be/pa2zNZ3FHH8

Tip Jar: https://paypal.me/kpmoooney

Видео Taylor Series and Option Greeks канала Kevin Mooney