Deriving derivatives of derivative securities

Peter Carr

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We use various techniques to simplify the derivations of 'greeks' of path-independent claims in the Black-Merton-Scholes model. We first interpret delta, gamma, speed, and other higher order spatial derivatives of these claims as the values of certain quantoed contingent claims. We then show that all partial derivatives of such claims can be represented in terms of these spatial derivatives. These observations permit the rapid deployment of high order Taylor series expansions, which we illustrate for European options.

Original languageEnglish (US)
Title of host publicationIEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)
PublisherIEEE
Pages101-128
Number of pages28
ISBN (Print)0780364295
StatePublished - 2000
EventIEEE/IAFE/INFORNS 2000: 6th Conference on Computational Intelligence for Financial Engineering (CIFEr) - New York, NY, USA
Duration: Mar 26 2000Mar 28 2000

Publication series

NameIEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)

Other

OtherIEEE/IAFE/INFORNS 2000: 6th Conference on Computational Intelligence for Financial Engineering (CIFEr)
CityNew York, NY, USA
Period3/26/003/28/00

ASJC Scopus subject areas

  • Computer Science(all)
  • Economics, Econometrics and Finance(all)
  • Engineering(all)

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