4
$\begingroup$

Why do some people use a Black Scholes Delta instead of the delta given by the Local Volatility model?

$\endgroup$
  • 3
    $\begingroup$ if you believe the underlying truly operates in a sticky strike world, then LV accurately reproduces all of the vanilla options, and so the LV delta and the BS delta are the same. $\endgroup$ – will May 12 '18 at 10:13
  • $\begingroup$ @will could you explain this any further? (and then put as answer) $\endgroup$ – Permian Jun 4 '18 at 17:39
1
$\begingroup$

Here are the reasons:

1.Easy to calculate. You can easily calculate with closed-form formulas

2.If you the pricing model is BS, you should use the same model to calculate delta and other greeks. There are formulas for all of the greeks from BS model

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.