DNT
Posted: March 17th, 2006, 1:21 pm
by Koala
can anyone tell how to calculate the greeks for Double no touch option.... especially delta, vega, theta and gamma ps tks alot...
DNT
Posted: March 17th, 2006, 3:59 pm
by Alan
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,