On Thu, 2007-04-19 at 19:25 +0200, Ferdinando Ametrano wrote:
> On 4/19/07,
[hidden email]
> <
[hidden email]> wrote:
> > Delta, gamma and theta added to binomial engine for vanilla options (thanks to Steve Cook.)
> > Theta is currently not close enough to analytic values. Investigation would be needed.
>
> why theta isn't just deduced from Delta and Gamma using Black
> equation? This approach is used elsewhere in QuantLib.
Yes, I can try that.
Later,
Luigi
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