steven E shreves (stochastic calculus for finance II) is the best book to gain considerable insight.

<t>I am doing this for a product, if closed form solutions for Greeks used in the Black Scholes world that will be more accurate than any numerical approximation.Though I am in the process deriving the Greeks for barrier using pricing formulas given in "The Complete Guide to Option Pricing Formulas,...

<t>Hi All,I am working on Barrier options pricing( using closed form solutions- Reiner and Rubinstein 1991) and I want tom derive its sensitivities with partial differentiation of the closed form solutions( delta , gamma,vega, theta and Rho). As it is a tedious process, partial differentiation of ab...

Ho to compute aggregate portfolio delta when portfolio contains several combinations related to different underlying assets.As I Know, the delta of option positions on the same underlying asset can be evaluated by mere summation of corresponding deltas. Please give you inputsRegards,

I am collecting literature on Beta adjusted Delta?. Please share any use full links in this regard.

if you know how much dividend you are going to get in discrete times, you can annualized that dividend and use in GBM equation as Darou suggested

<t>Ho to compute options portfolio delta corresponding to different underlyings? As I Know, the risks of option positions on the same underlying asset can be evaluated by mere summation of corresponding Greeks. However, this does not work when the portfolio contains several combinations related to d...

<t>Hi Alan,Shoul I compare Curran's Asian option pricing rersults with GBM( Geometric Brownain Motion)- Monte Carlos Simultaions? and validate it up to six degits.If this is the case,when I compared GBM-Monte Carlo asian options prices (100,000 simulations, with out any variance reduction techniques...

Hi Helix,How you calculated Gamma of asian options, I mean which model is used in computaion of GammaAre you using any closed form solution or implemented numerical methods ?Please help me in coputaion of Asian option GammaRegards,

<t>Can I use curran's closed form solution ( as given in Hugg) for computaion of greeks?Should I use central difference in Greeks computaion, is this method is accurate?Is curran's formala is differeciable with respect to undelying price, volatility and interest rate for Greeks computaion(closed for...

<t>Can I use curran's closed form solution ( as given in Hugg) for computaion of greeks?Should I use central difference in Greeks computaion, is this method is accurate?Is curran's formala is differeciable with respect to undelying price, volatility and interest rate for Greeks computaion(closed for...

<t>Can I use curran's closed form solution ( as given in Hugg) for computaion of greeks?Should I use central difference in Greeks computaion, is this method is accurate?Is curran's formala is differeciable with respect to undelying price, volatility and interest rate for Greeks computaion(closed for...

Thx for your promt reply

Thx spursfan,already implemented central difference to find greens in case of Curran's approximation.I am looking for a closed form solution, which is derived from pricing fomula.Any comments will be great help.Regards,

<t>Hi, Currently I am pricing Asian options using Curran's approximation. and I want to compute Greeks for the Asian options, Kindly give your suggestion on how to compute Asian option Greeks when I am pricing the same with Curran's approximations. Is there any closed form solution available.Please ...