The Binomial Black - Scholes Model and the Greeks

San Lin Chung; Mark Shackleton

doi:10.1002/fut.2211

The Binomial Black - Scholes Model and the Greeks

San Lin Chung, Mark Shackleton^*

^*Corresponding author for this work

Research output: Contribution to journal › Journal 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 language	English
Pages (from-to)	143-153
Number of pages	11
Journal	Journal of Futures Markets
Volume	22
Issue number	2
DOIs	https://doi.org/10.1002/fut.2211
State	Published - 02 2002
Externally published	Yes

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10.1002/fut.2211

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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.",

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AB - 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.

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The Binomial Black - Scholes Model and the Greeks

Abstract

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