We consider the well known problem of computing stock price of Greeks of financial options within the traditional binomial model of Cox, Ross and Rubinstein (1979) (CRR).Usually, stock price Greeks are computed using an extended tree as proposed by Hull (1993). According to nuerical results illustrated in this work, contrarily to the common belief, there is no evidence of the superiority of the extended tree based algorithm over the standard one in computing option delta and gamma.
COSTABILE, Massimo;MASSABO', Ivar
2010-01-01
Abstract
We consider the well known problem of computing stock price of Greeks of financial options within the traditional binomial model of Cox, Ross and Rubinstein (1979) (CRR).Usually, stock price Greeks are computed using an extended tree as proposed by Hull (1993). According to nuerical results illustrated in this work, contrarily to the common belief, there is no evidence of the superiority of the extended tree based algorithm over the standard one in computing option delta and gamma.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
