Download This PaperGreeks 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: 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
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