The Binomial Black - Scholes Model and the Greeks

San Lin Chung, Mark Shackleton*

*此作品的通信作者

研究成果: 期刊稿件文章同行評審

10 引文 斯高帕斯(Scopus)

摘要

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.

原文英語
頁(從 - 到)143-153
頁數11
期刊Journal of Futures Markets
22
發行號2
DOIs
出版狀態已出版 - 02 2002
對外發佈

指紋

深入研究「The Binomial Black - Scholes Model and the Greeks」主題。共同形成了獨特的指紋。

引用此