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Settlement lag adjustment of the Greeks
Hi,Not a big deal but could be tricky. We consider a vanilla European call option on some stock. Normally we have some lag between option trade date (t) and settle date (t+dt). Assuming option expiring at T, the "settle date" premium is PV = BS(t,T) / D(t,t+dt), where D(t,t+dt) is the discount factor between t and t+dt and BS(t,T) is the Black-Schoels price as if there is no time lag dt. My question is a) for Greeks, should we calculate them based on PV or BS(t,T)? b) anything special for "theta"? Thanks.
Settlement lag adjustment of the Greeks
Hopefully I made my question clear 
Settlement lag adjustment of the Greeks
Yet again we see this question... I'll copy my response... Search the Student Forum using the key words "Currency options formulas and pips". There are descriptions there about two different time measures - volatility time and risk-neutral drift time.