×

A comparative static analysis approach to derive Greek letters: theory and applications. (English) Zbl 1454.91298

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2965-2999 (2021).
Summary: Based on comparative analysis, we first discuss different kinds of Greek letters in terms of Black-Scholes option pricing model, then we show how these Greek letters can be applied to perform hedging and risk management. The relationship between delta, theta, and gamma is also explored in detail.
For the entire collection see [Zbl 1446.91003].

MSC:

91G20 Derivative securities (option pricing, hedging, etc.)
91G70 Statistical methods; risk measures
PDFBibTeX XMLCite
Full Text: DOI