一般障碍期权的希腊值是怎么算的？

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

一般障碍期权的希腊值是怎么算的？假如用解析式来算，是否直接按照定义求出一个delta值的函数？那么如果本身定价是用MC来算，那么怎么求希腊值呢？

想了解一下通常的做法是什么样的

谢谢！

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏5 回帖

关键词：障碍期权 Delta del ELT 希腊

One way is take differential with respect of the underlying price as you mentioned

People usually do is using S0 to get a price P0, shift S0 for 1 dollar, 1bp, 1% whatever to get S1, then recalculate the price P1, then diff P1-P0. This is the delta. This is good for MC.

best,

Chemist_MZ 发表于 2014-11-5 20:21
One way is take differential with respect of the underlying price as you mentioned

People usually ...

谢谢。再问一个相关的问题，因为目前没有欧式期权，障碍期权我只能用动态对冲。那么delta不连续，跳跃的问题怎么解决呢？尤其障碍期权的delta值会有负值，是否出现负值代表要卖空现货来对冲？

好像不太好理解

theandric 发表于 2014-11-6 10:55
谢谢。再问一个相关的问题，因为目前没有欧式期权，障碍期权我只能用动态对冲。那么delta不连续，跳跃的问 ...

I know it is hard to understand a call option's delta can be negative and the delta can jump.

Thus,  people usually use static hedging for hedging barrier option.

Chemist_MZ 发表于 2014-11-6 12:26
I know it is hard to understand a call option's delta can be negative and the delta can jump.

T ...

是啊。这也是场内期权没出来前没办法的办法了，不过还是感谢

Chemist_MZ 发表于 2014-11-5 20:21
One way is take differential with respect of the underlying price as you mentioned

People usually ...

No, the computation of greeks is more complicate than what you said.
Monte Carlo Methods in Financial Engineering By Glasserman is a good book to read about this.

Chemist_MZ 发表于 2014-11-6 12:26
I know it is hard to understand a call option's delta can be negative and the delta can jump.

T ...

In theory, under B-S framework the delta is smooth, so the delta can't jump.
But the delta and gamma can be very large under some situation.

ypk9999 发表于 2014-11-9 07:26
In theory, under B-S framework the delta is smooth, so the delta can't jump.
But the delta and ga ...

Correct, the "jump" we are talking about here is slope equal or close to infinity, not continuous or discontinuous. Maybe it is a little misleading. Sorry about that :-)

ypk9999 发表于 2014-11-9 07:23
No, the computation of greeks is more complicate than what you said.
Monte Carlo Methods in Finan ...

I work in the industry, what I said is the common practice they use in practice.

We are not talking about some details here. I know in Pual's book Chapter 7 it talks about how to estimate greeks more efficient and reduce the estimation error. There are of course many ways to make the estimation more precise and efficient what I said is just a general answer.

Just like Euler scheme is still a good way to simulate path although there are many other improvements like including second order errors such as Milstein method etc. But you can not say Euler scheme is wrong, although it is a naive way. :-)

好赞啊