The Binomial Black - Scholes Model and the Greeks
Journal
Journal of Futures Markets
Journal Volume
22
Journal Issue
2
Pages
143-153
Date Issued
2002
Author(s)
Abstract
This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where they demonstrated that numerical differentiation of a binomial model compared poorly to their design of an extended tree, this study shows that the Binomial Black-Scholes method advocated by Broadie and Detemple (1996) does not suffer from the same problem; therefore, it is very effective in the calculation of the Greeks. ? 2002 John Wiley & Sons, Inc.
Type
journal article