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

Abstract

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
Volume22
Issue number2
DOIs
StatePublished - 02 2002
Externally publishedYes

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