Title: A simple relationship between Greeks for Asian options

Authors: Tianmiao Liu; Yoshifumi Muroi

Addresses: Graduate School of Economics and Management, Tohoku University, 27-1 Kawauchi, Aoba-Ku, Sendai City, 980-8576, Japan ' Graduate School of Economics and Management, Tohoku University, 27-1 Kawauchi, Aoba-Ku, Sendai City, 980-8576, Japan

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.

Keywords: Asian options; Greeks; vega; rho; theta; financial risk management; mathematical finance; Malliavin calculus.

DOI: 10.1504/IJFMD.2015.073457

International Journal of Financial Markets and Derivatives, 2015 Vol.4 No.3/4, pp.195 - 202

Received: 08 Oct 2014
Accepted: 14 Apr 2015
Published online: 09 Dec 2015 *

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