Visualizing Volatility Sensitivity in Delta hedged gains with TI Nspire

The TI Nspire calculator is a great platform for visualizing data via interactive graphs. The built-in facility like input slider for variable value adjustment allowed dynamic visualization to complex equations, like the volatility sensitivity in delta-hedged gains used financial investment. Since this strategy involved a single call option, the volatility exposure equals the vega value of the option.

The following setup on the Nspire provided the functions to calculate the vega values.
vega1

This spreadsheet input screen stores the spot prices and the calculated Black Scholes vega values.
vega2

Finally, with the data plotting screen the graph of Delta hedged gains of volatility sensitivity is completed. An additional slider control can easily be added on it to adjust an offset variable so as to visualize scenarios under different spot price.
vega3

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s