In this article we propose and calculate, under the Black Scholes option pricing model, a measure of the relative value of a delta- Symmetric Strangle . The proposed measure accounts for the price of the strangle, relative to the (present value of the ) spread between the two strikes, all expressed, after a natural re-parameterization, in terms of delta and a volatility parameter.
<meaning-changed> In this article we propose and calculate, under the Black Scholes option pricing model, a measure of the relative value of a delta- Symmetric Strangle . The proposed measure accounts for the price of the strangle, relative to the (present value of the ) spread between the two strikes, all expressed, after a natural re-parameterization, in terms of delta and a volatility parameter.
In this article we propose and calculate, under the Black Scholes option pricing model, a measure of the relative value of a delta-Symmetric Strangle and compute it under the standard Black-Scholes option pricing model. This new measure accounts for the price of the strangle, relative to the (present value of the ) spread between the two strikes, all expressed, after a natural re-parameterization, in terms of delta and a volatility parameter.