I'm considering exchange traded options of futures on bonds. Options on bond futures are usually American, thus the Black model is out of question. Which is the most imporatant Greek with respect to update frequency? Delta or Rho or something else? Which model should I use for calculating this? Is CRR79-delta enough, if it is delta? I believe so, but would still love comments on it.
Tell me more
×
Quantitative Finance Stack Exchange is a question and answer site for
finance professionals and academics. It's 100% free, no registration required.
