Re: [QuantLib-svn] SF.net SVN: quantlib: [10251] trunk/QuantLib

classic Classic list List threaded Threaded
2 messages Options
Reply | Threaded
Open this post in threaded view
|

Re: [QuantLib-svn] SF.net SVN: quantlib: [10251] trunk/QuantLib

Ferdinando M. Ametrano-3
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.

ciao -- Nando

-------------------------------------------------------------------------
This SF.net email is sponsored by DB2 Express
Download DB2 Express C - the FREE version of DB2 express and take
control of your XML. No limits. Just data. Click to get it now.
http://sourceforge.net/powerbar/db2/
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Reply | Threaded
Open this post in threaded view
|

Re: [QuantLib-svn] SF.net SVN: quantlib: [10251] trunk/QuantLib

Luigi Ballabio
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


----------------------------------------

Dealing with failure is easy: work hard to improve. Success is also
easy to handle: you've solved the wrong problem. Work hard to improve.
-- Alan Perlis



-------------------------------------------------------------------------
This SF.net email is sponsored by DB2 Express
Download DB2 Express C - the FREE version of DB2 express and take
control of your XML. No limits. Just data. Click to get it now.
http://sourceforge.net/powerbar/db2/
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev