A Comparative Static Analysis Approach to Derive Greek Letters: Theory and Applications

Cheng Few Lee

Chapter 47 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives:In 4 Volumes, 2024, pp 1549-1581 from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 G3 M41 M42 (search for similar items in EconPapers)
Date: 2024
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