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

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.

並列關鍵字

Binomial model ； Greeks

參考文獻

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被引用紀錄

羅英凱（2013）。應用行動裝置於課程提醒之研究:行動課程秘書〔碩士論文，中原大學〕。華藝線上圖書館。https://doi.org/10.6840/cycu201300650

王思涵（2013）。數位遊戲式學習對中小學學生學習成效影響之後設分析〔碩士論文，國立臺灣師範大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0021-0801201418033090

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

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