A comparative static analysis approach to derive Greek letters: Theory and applications

Cheng Few Lee

doi:10.1142/9789811269943_0047

A comparative static analysis approach to derive Greek letters: Theory and applications

Cheng Few Lee

Rutgers Business School, Finance & Economics

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Abstract

Based upon 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.

Original language	English (US)
Title of host publication	Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes)
Publisher	World Scientific Publishing Co.
Pages	1549-1582
Number of pages	34
Volume	2-4
ISBN (Electronic)	9789811269943
ISBN (Print)	9789811269936
DOIs	https://doi.org/10.1142/9789811269943_0047
State	Published - Apr 8 2024

All Science Journal Classification (ASJC) codes

General Economics, Econometrics and Finance
General Business, Management and Accounting

Keywords

Delta (Δ)
Gamma (Γ)
Hedging
Rho (ρ)
Theta (Θ)
Vega (ν)

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10.1142/9789811269943_0047

Cite this

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A comparative static analysis approach to derive Greek letters: Theory and applications

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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