The Binomial Black - Scholes Model and the Greeks

San Lin Chung, Mark Shackleton*

*Corresponding author for this work

Research output: Contribution to journalJournal Article peer-review

10 Scopus citations


This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where they demonstrated that numerical differentiation of a binomial model compared poorly to their design of an extended tree, this study shows that the Binomial Black-Scholes method advocated by Broadie and Detemple (1996) does not suffer from the same problem; therefore, it is very effective in the calculation of the Greeks.

Original languageEnglish
Pages (from-to)143-153
Number of pages11
JournalJournal of Futures Markets
Issue number2
StatePublished - 02 2002
Externally publishedYes


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