Title
Computing option price sensitivities using homogeneity and other tricks.Computing option price sensitivities using homogeneity and other tricks.
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
New York,
Subject
Economics
Mathematics
Source (journal)
The journal of derivatives. - New York
Volume/pages
9(2001):2, p. 41-53
ISSN
1074-1240
Carrier
E
Target language
English (eng)
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.
E-info
https://repository.uantwerpen.be/docman/iruaauth/dd43c6/46eb107848f.pdf