On Fri, 2009-03-20 at 15:25 +1100, Sumit Gupta wrote:
> I am using quantlib and found that only three Greeks (Delta, Gamma,
> and Theta) have been implemented for Binomial Cox-Ross-Rubinstein in
> quantlib C# library. Can anyone email me the corrected and/or updated
> version.
There's no updated version. The other greeks are much more difficult to
calculate on a binomial tree. As a workaround, you can calculate them
by modifying your inputs and repricing the option.
Luigi
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