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Asian Greeks
I have the formula for pricing asian options with set periods, the Curran approximation. My issue is how to calculate the greeks during the averaging periods. Does anyone have any ideas/hints/formulas for calculating gamma, vega, delta and theta?
Asian Greeks
You can, of course, get the Greeks with numerical derivatives if you have the pricing function... I don't think there are analytic forms for the Greeks under Curran, though you might try to derive them along the same lines as the price.
Asian Greeks
Anyone has VBA/C++ code for greeks under Curran approach? Thanks.
Asian Greeks
i'm sure you know, but just in case remember the delta jumps over averaging points