The Binomial Black–Scholes model and the Greeks

San‐Lin Chung and Mark Shackleton

Journal of Futures Markets, 2002, vol. 22, issue 2, 143-153

Abstract: This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where they demonstrated that numerical differentiation of a binomial model compared poorly to their design of an extended tree, this study shows that the Binomial Black–Scholes method advocated by Broadie and Detemple (1996) does not suffer from the same problem; therefore, it is very effective in the calculation of the Greeks. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:143–153, 2002

Date: 2002
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