A simple relationship between Greeks for Asian options
by Tianmiao Liu; Yoshifumi Muroi
International Journal of Financial Markets and Derivatives (IJFMD), Vol. 4, No. 3/4, 2015

Abstract: Computation of Greeks is an important task in financial risk management. In the last decade, there have been many studies on the computational methods for a variety of financial options. The Malliavin calculus approach has become one of the main approaches to derive Greeks for these options, for example. In this article, we show a new relationship between Greeks (vega, rho, and theta) for Asian options. This result is obtained using elementary mathematics.

Online publication date: Wed, 09-Dec-2015

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