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As the title says, could somebody please explain why the Taylor series approximation overstates a long call/put option VaR and vice versa for the short option position? I'm revising through the chapters and realised I forgot how this is meant to work! Thanks all!

Hi all, Looking for a formula that depicts the relationship between all the option greeks; delta, gamma, vega, theta, and rho. For example, the portfolio value *rf formula (below) is extremely useful for theta/delta/gamma/vega relationship (assuming non-delta neutral portfolio). Such that I'm...

Hi all, Seeking guidance/clarification on something. I'm quite new and have been following the study planner (advanced package). As I've completed the study notes for Topic 1: Fundamentals of Probability, I decided to attempt the end of chapter questions (part of topic 1 study notes) as well...