Greeks Under the Ju-Zhong American Option Model

2 Pages Posted: 3 Apr 2014 Last revised: 27 Apr 2016

Date Written: June 1, 2013

Abstract

Delta and Gamma greeks presented in the paper from Ju and Zhong to price American options have errors. We present here the proper formulas.

Keywords: American Option

Suggested Citation

Le Floc'h, Fabien, Greeks Under the Ju-Zhong American Option Model (June 1, 2013). Available at SSRN: https://ssrn.com/abstract=2419645

Fabien Le Floc'h (Contact Author)

Calypso Technology ( email )

106 rue de la Boetie
Paris, 75008
France

Independent ( email )

France

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