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Title
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Computing option price sensitivities using homogeneity and other tricks.
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Author
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Abstract
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| 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. |
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Language
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English
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Source (journal)
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The journal of derivatives. - New York
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Publication
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New York
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2001
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ISSN
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1074-1240
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Volume/pages
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9
:2
(2001)
, p. 41-53
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Full text (publisher's version - intranet only)
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