Serving the Quantitative Finance Community

DNT

Post Reply
 
User avatar
Koala
Topic Author
Posts: 0
Joined: March 21st, 2003, 8:17 am

DNT

March 17th, 2006, 1:21 pm

can anyone tell how to calculate the greeks for Double no touch option.... especially delta, vega, theta and gamma ps tks alot...
Top
 
User avatar
Alan
Posts: 3050
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:
Contact Alan

DNT

March 17th, 2006, 3:59 pm

The value formula I know is an infinite sum (BS assumptions)So, there are two ways to get Greeks:1. differentiate term by term, or2. use a finite difference formula on the evaluated sumregards,
Top
© All material, including contents and design, copyright Wilmott Electronic Media Limited | Privacy | About | Contact us