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RE: Barrier option greeks

Posted by cuchulainn on Jun 23, 2005; 11:01am
URL: http://quantlib.414.s1.nabble.com/Barrier-option-greeks-tp3857p3858.html

[Quantlib-users] Barrier option greeks
Maybe you could modify Quantlib FDM schemes to handle greeks. It's fairly easy.
 
Just take divided diference of price to get delta. I have done it and its OK.
 
Daniel


From: [hidden email] on behalf of Siddharth Sharma
Sent: Thu 23/06/2005 13:21
To: [hidden email]
Subject: [Quantlib-users] Barrier option greeks

Hello,
 Is it true that the AnalyticBarrierEngine in QuantLib
0.3.8 doesn't have any support for greeks, or am I
somehow mistaken? If greeks are to be implemented,
what would be the best way of doing it?

thanks and regards
Sid





               
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