A quanto option is a derivative with the underlying and strike price denominated in one currency, but the instrument itself is settled in another currency. This has consequences for the calculation of the greeks.
The BS delta
measures the rate of change of the option price relative to the change of underlying price. BS gamma
measures the rate of change of BS delta relative to the change of underlying price
A price-adjusted delta (PA delta
) measures the rate of change of the option price (in settlement currency) relative to the percentage change of the underlying price. PA gamma
measures the rate of change of PA delta relative to the percentage change of the underlying price
According to this link the difference between the PA delta
and BS delta
is the price of the option (in BTC). My interpretation (with interest rate=0, USD and BTC as currencies):
Is it also possible to determine the difference between BS gamma
and PA gamma
?
BS gamma
in terms ofPA gamma
? $\endgroup$