Gamma ( IDataHolder Underlying Price , IDataHolder Volatility );
Default values:
Underlying Price: close(getUnderlyingSymbol())
Volatility: imp_volatility(getUnderlyingSymbol())
Description
Calculates the gamma option greek.
Input parameters
| Parameter | Default value | Description |
|---|---|---|
| Underlying Price | close(getUnderlyingSymbol()) | Defines price to be used in calculation of gamma. |
| Volatility | imp_volatility(getUnderlyingSymbol()) | Defines volatility to be used in calculation of gamma. |
Example
def shift = 0.1*close(GetUnderlyingSymbol());
plot theoreticalprice = OptionPrice(underlyingPrice = close(GetUnderlyingSymbol()) + shift);
plot firstorder = OptionPrice() + shift * Delta();
plot secondorder = firstorder + shift*shift/2 * Gamma();
This example illustrates the use of the Gamma function to calculate changes in the theoretical option price when the underlying symbol price changes significantly. While the expression using delta is only a rough estimate of the resulting price, taking gamma into account results in much better approximation.