The binomial Black-Scholes model and the Greeks

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31336

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31336

Title:	The binomial Black-Scholes model and the Greeks
Authors:	Chung,SL;Shackleton,M
Contributors:	財務金融研究所
Keywords:	OPTION
Date:	2002
Issue Date:	2010-07-06 17:42:34 (UTC+8)
Publisher:	中央大學
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 st
Relation:	JOURNAL OF FUTURES MARKETS
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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