Chung S.-L.SAN-LIN CHUNG2019-07-222019-07-22200202707314https://scholars.lib.ntu.edu.tw/handle/123456789/414517This 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.journal article10.1002/fut.22112-s2.0-0036213507https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036213507&doi=10.1002%2ffut.2211&partnerID=40&md5=121e93edf2ac371aa9f6006837a14c6a