美式期权的delta、gamma等要怎么算，有相应的数值算法么

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话说从没见过解释美式期权希腊字母的文章

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关键词：gamma Delta 美式期权 GAM ELT 文章 希腊 字母

If you use tree method then you just need to find out how to calculate greeks from tree.

Delta is easy, every books tell you how to calculate. in binomial tree, it is just  (Cu-Cd)/(Su-Sd). For gamma it is just a change of Delta, so also easy to calculate. Take a look at this article.

http://stat.fsu.edu/~mncube/Quan ... inomial%20Model.pdf

Of course there are many other ways to calculate greeks such as using trinomial tree. Or simply using the definition (calculate base price, shift the underlying, recalculate the shifted price, then do finite difference)

I don't know why you have not see any place talking about this. Maybe it is a common knowledge.

best,

Chemist_MZ 发表于 2014-11-11 10:06
If you use tree method then you just need to find out how to calculate greeks from tree.

Delta i ...

因为书中都是把欧式看涨看跌期权的希腊字母计算公式详尽地列举出来，而对于美式期权的却都只字未提
再贪心地问下，如果是用蒙特卡罗法给美式期权定的价，那相应的希腊字母又该如何计算呢？

ptototype 发表于 2014-11-12 09:09
因为书中都是把欧式看涨看跌期权的希腊字母计算公式详尽地列举出来，而对于美式期权的却都只字未提
再贪 ...

The basic and naive way is simply using the definition as I have mentioned. Calculate base price, shift the underlying, recalculate the shifted price, then do finite difference to calculate Delta. Gamma can be done in a similar way.

For more info, you can take a look at "Monte Carlo methods in Financial Engineering" by Pual Glasserman. Chapter 7 talks about how to calculate Greek with MC.

can refer this thread:

https://bbs.pinggu.org/thread-3334242-1-1.html

Chemist_MZ 发表于 2014-11-12 09:41
The basic and naive way is simply using the definition as I have mentioned. Calculate base price,  ...

多谢，开始看了

Chemist_MZ 发表于 2014-11-11 10:06
If you use tree method then you just need to find out how to calculate greeks from tree.

Delta i ...

nice！

过来学习