Hi ladies! Can you compare the deltas and vegas of European, American and Asian options?

QuoteOriginally posted by: almostcutmyhairHi ladies! Can you compare the deltas and vegas of European, American and Asian options?yes, I suppose you can

QuoteOriginally posted by: almostcutmyhairHi ladies! Can you compare the deltas and vegas of European, American and Asian options?I don't know what you mean "compare". You can actually compare the greeks of all derivatives or portfolios.

so that's 2 votes for "yes"

QuoteOriginally posted by: almostcutmyhairHi ladies! Can you compare the deltas and vegas of European, American and Asian options?you should rephrase before OT people come!

I was wondering if you guys know the relationship between the deltas and vegas of identical European, American and Asian options. In other words, which one has the highest delta and vega and which one has the lowest?

I think you can think it in a direct or intuitive way. My analysis is not so strict. I just provide a way of thinking. If you do not consider dividend:For delta, because American put may be exercised early, so if it is deep in the money,the delta is higher than European put. Because for the American put buyer, you should have 1 share stock in hand in case of immediate exercise. For EP this may be 0.8 or 0.9 perhaps. For Asian option, because of its average property. If the option have been in the market for a long time like 3 months. You can roughly estimate the average price now, because todays price has little affect on the past average. In this case, asian is easier to hedge. Its delta I think is depend on the past price path. For call option, for the same stock price, if the asian has a higher average for the past than the current, it surely has a higher delta. But if you are at the beginning date, I think you can compare the pricing formula of the EO and Geometric AisanO. For vega. Because average price has less volatility than single daily price(for GAsianO, I think, you can deduce the distribution of the Geometric average, and find that the volatility of the G Average is just 1/sqrt(3)*sigma). So volatility has less effect on the AsianO than EO. For EO and AO, I think they are very close. Simulation will helpI just give some rough views. When you really want to get clear about it, you should use mathematics and programming.

QuoteOriginally posted by: edouardQuoteOriginally posted by: almostcutmyhairHi ladies! Can you compare the deltas and vegas of European, American and Asian options?you should rephrase before OT people come!thank goodness we dodged that bullet

Thanks! I thought an Asian option would have a lower Delta compared to a European option, since it depends on the average price, not the current one; so that its sensitivity wrt. the current price would be lower.

Thanks! I thought an Asian option would have a lower Delta compared to a European option, since it depends on the average price, not the current one; so that its sensitivity wrt. the current price would be lower.

QuoteOriginally posted by: creditRiskyThanks! I thought an Asian option would have a lower Delta compared to a European option, since it depends on the average price, not the current one; so that its sensitivity wrt. the current price would be lower.you would be right in thinking so for a "seasoned" average price option.