Computing option price sensitivities using homogeneity and other tricks.Computing option price sensitivities using homogeneity and other tricks.
Faculty of Sciences. Mathematics and Computer Science
2001New York, 2001
The journal of derivatives. - New York
9(2001):2, 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.