The binomial Black-Scholes model and the Greeks

被引：11
|
作者：
Chung, SL
Shackleton, M [1 ]
机构：
[1] Univ Lancaster, Accounting & Finance Dept, Sch Management, Lancaster LA1 4YX, England
[2] Natl Cent Univ, Dept Finance, Chungli 32054, Taiwan
来源：
JOURNAL OF FUTURES MARKETS | 2002年 / 22卷 / 02期
关键词：
D O I：
10.1002/fut.2211
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
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. (C) 2002 John Wiley & Sons, Inc.
引用
收藏
页码：143 / 153
页数：11
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