TY - GEN
T1 - Deriving derivatives of derivative securities
AU - Carr, Peter
PY - 2000
Y1 - 2000
N2 - 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.
AB - 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.
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M3 - Conference contribution
AN - SCOPUS:0033748402
SN - 0780364295
T3 - IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)
SP - 101
EP - 128
BT - IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)
PB - IEEE
T2 - IEEE/IAFE/INFORNS 2000: 6th Conference on Computational Intelligence for Financial Engineering (CIFEr)
Y2 - 26 March 2000 through 28 March 2000
ER -