Computing option price sensitivities using homogeneity and other tricks.
Faculty of Sciences. Mathematics and Computer Science
The journal of derivatives. - New York
, p. 41-53
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.