Posted by
Luigi Ballabio on
Mar 24, 2009; 3:04pm
URL: http://quantlib.414.s1.nabble.com/Greeks-tp7342p7347.html
On Sat, 2009-03-21 at 15:34 +1100, Sumit Gupta wrote:
> Also, I am having problems with GREEKS only for american
> (Bionomial-CRR) option pricing only and also do not know how to
> calculate Rho and Vega there. They were not implemented there in the
> QuantLib for Bionomial-CRR model. Please advice.
You have to calculate rho and vega numerically. For rho: price your
option, modify the risk-free rate a tiny bit, and reprice. For vega, do
the same for the volatility.
Luigi
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