题名

On Computing Stock Price Greeks within the Cox-Ross-Rubinstein Model

DOI

10.6293/AQAFA.2010.08.08

作者

Massimo Costabile；Ivar Massabò

关键词

Binomial model ； Greeks

期刊名称

Advances in Quantitative Analysis of Finance and Accounting

卷期/出版年月

8期（2010 / 06 / 01）

页次

171 - 189

内容语文

英文
英文摘要

We consider the well known problem of computing stock price Greeks of financial options within the traditional binomial model of Cox, Ross, and Rubinstein (1979) (CRR). Usually, stock price Greeks are computed using an extended tree as proposed by Hull (1993). According to numerical results illustrated in this work, contrarily to the common belief, there is no evidence of the superiority of the extended tree based algorithm over the standard one in computing option delta and gamma.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
参考文献
  1. Black, F.,Scholes, M.(1973).The pricing of options and corporate liabilities.Journal of Political Economy,81,637-654.
  2. Chriss, N. A.(1996).Black-Scholes and beyond: Option pricing models.New York:McGraw-Hill.
  3. Cox, J. C.,Ross, S. A.,Rubinstein, M.(1979).Option pricing: A simplified approach.Journal of Financial Economics,7,229-263.
  4. Cox, J. C.,Rubinstein, M.(1985).Options markets.Englewood Cliffs, NJ:Prentice Hall.
  5. Hull, J.(1993).Options, futures and other derivative securities.Englewood Cliffs, NJ:Prentice Hall.
  6. Pelsser, A.,Vorst, T.(1994).The binomial model and the Greeks.The Journal of Derivatives,1(3),45-49.
  7. Rubinstein, M.(1999).Rubinstein on derivatives.London:Risk Books.
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