一般障碍期权的希腊值是怎么算的？

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 ...

use the simple way to calculate delta.and according to the book delta=dC/dS0,so y P1-P0 not
P1-P0/S1-S0. how exactly to static hedging for hedging barrier option.（Up and out）.monitoring delta daily and change position dynamically？ thx

国内障碍期权一般是指数为标的，股票的不做

之前的外文回答特别好，面对jump，某些跳跃值需要特殊处理，在这种情况下，barrier call put的delta有其有效区间。