Re: Delta and Gamma of FD american Option
Posted by
ravi agrawal-2 on
Mar 02, 2010; 11:06pm
URL: http://quantlib.414.s1.nabble.com/Delta-and-Gamma-of-FD-american-Option-tp6478p6483.html
To be precise am getting these values of delta and gamma only when volatility is 0%.
On Tue, Mar 2, 2010 at 3:23 PM, ravi agrawal
<[hidden email]> wrote:
Hi,
Where are the greeks for American Option using finite differences calculated?
At many places am getting americanOption.delta() and americanOption.gamma() as -1.#IND 1.#QNB respectively.
Any help would be appreciated.
Thanks
Ravi
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