A Comparative Static Analysis Approach to Derive Greek Letters: Theory and Applications

DOI10.1142/9789811202391_0086zbMATH Open1454.91298OpenAlexW3080190295MaRDI QIDQ5139516

Cheng-Few Lee, Yuanyuan Xiao

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0086

zbMATH Keywords

hedgingdelta \(( \Delta )\)gamma \(( \Gamma )\)rho \(( \rho )\)theta \(( \Theta )\)Vega \(( \nu )\)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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