In this article, we look at how aggregation of different Greeks provides extra insights when managing underlying risk.
In the first part of this third article, we will look at risk aggregation aspects. Aggregating Delta, Gamma and Vega not only allows to risk manage a portfolio efficiently (which by itself is a piece of Business Intelligence) but it also provides alternative data insights. To begin our analysis, we will focus on a specific stock—NVIDIA—as our case study (the underlying). Regarding the Greeks-extraction task, that’s the beginning of the valorization process, we chose as a fir