The feasibility studies of using the Greeks' sensitivity formula in the Iranian capital market
Subject Areas : Financial engineeringsiavosh ahmadi chehreh bargh 1
1 - faculty member of Tehran north branch
Keywords: European option, Greek sensitivity formula, hypothesis test, time and intrinsic value,
Abstract :
In this paper, the sensitivity of the Greeks to the capital market will be examined. The purpose of this research is to make the use of the Greeks formula in the Tehran Stock Exchange. This research has been carried out on the applied research and financial information of Iran Khodro from September 9th to March 2010. In order to study and interpret the concepts of the Greek sensitivity formula, statistical and mathematical software such as MATLAB is used and calculations are performed with the European law (according to Tehran Stock Exchange). The outputs show that the mean and dispersion obtained in the selected sample is not normal distribution and it is proved with the help of the Lyon test that the mean and dispersion of the sample obtained can be replaced by the mean and dispersion of the society with a confidence coefficient of 99%, and the equation The Black-Scholes method is used to introduce the Greeks and examines the impact of each of the variables. Outputs show that the parameters of stock price, dispersion, maturity, and interest rate influence on the purchase price and have the effect of reducing market risk The stock introduces a mathematical model and Greek sensitivity coefficients such as d Leta, Rho, Vega, Theta and Gamma are necessary and it is necessary to use the Greek sensitivity coefficients in the Tehran Stock Exchange and acquaint investors with the concepts of mathematical finance.
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