Option Pricing Formula
- - spot price
- - option delta
- - delta % offset
- - delta offset
- - delta strike computed using
- - delta strike computed for a call option
- - delta strike computed for a put option.
- - time to maturity
- - delta strike function which maps the delta parameterto the strike price
- - oracle function which maps the parametersto implied volatility
The price curve can be calculated as follows:
Last modified 10mo ago