A simple relationship between Greeks for Asian options

Tianmiao Liu and Yoshifumi Muroi

International Journal of Financial Markets and Derivatives, 2015, vol. 4, issue 3/4, 195-202

Abstract: Computation of Greeks is an important task in financial risk management. In the last decade, there have been many studies on the computational methods for a variety of financial options. The Malliavin calculus approach has become one of the main approaches to derive Greeks for these options, for example. In this article, we show a new relationship between Greeks (vega, rho, and theta) for Asian options. This result is obtained using elementary mathematics.

Keywords: Asian options; Greeks; vega; rho; theta; financial risk management; mathematical finance; Malliavin calculus. (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=73457 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijfmkd:v:4:y:2015:i:3/4:p:195-202

Access Statistics for this article

More articles in International Journal of Financial Markets and Derivatives from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().