Publication
Title
Computing option price sensitivities using homogeneity and other tricks.
Author
Abstract
No practitioner so, ware can survive without providing derivatives of option prices with respect to underlying market or model parameters, the so-called Greeks. We present a list of common Greeks and exploit homogeneity properties of financial markets to derive many model-independent relationships among Greeks. We apply the results to European style options and multi-asset options, and avoid time-consuming computations of derivatives.
Language
English
Source (journal)
The journal of derivatives. - New York
Publication
New York : 2001
ISSN
1074-1240
Volume/pages
9:2(2001), p. 41-53
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Publication type
Subject
External links
Record
Identification
Creation 03.03.2015
Last edited 10.12.2015