Abstract
This article compares two alternative ways to calculate hedge ratios in the binomial option pricing model. It is shown that numerical differentiation is not only slower than the alternative method based on an extended binomial tree, but also less accurate, especially for the calculation of gamma.
| Original language | English |
|---|---|
| Pages (from-to) | 45-49 |
| Number of pages | 6 |
| Journal | Journal of derivatives |
| Volume | 1 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 1994 |
| Externally published | Yes |
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