Posted by
Luigi Ballabio on
Mar 24, 2009; 3:56pm
URL: http://quantlib.414.s1.nabble.com/Greeks-tp7342p7345.html
On Sat, 2009-03-21 at 15:30 +1100, Sumit Gupta wrote:
> The values for Eurpoean (BlackScholes) options and greeks being
> calculated perfectly and matching to the 4th decimal point with ASX.
> Also for bionomial (American) the value of option is matching
> perfectly too. BUT Greeks are not matching at all and not even with
> close approximation.
They don't match as closely as the price, but I wouldn't say "not
matching at all". For the option I've tried, I get for instance a 0.786
delta vs 0.793 from ASX; that might be due to the way Greeks are
calculated on the tree. Also, if I calculate the delta numerically by
modifying the underlying value and recalculating, I get 0.789, which
seems to mean the we and ASX are making comparable errors on opposite
sides of the true value. Perhaps you may post the set of inputs that
you used, so we can do some analysis on them?
Luigi
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