I'm working with a multi-asset worst of model and the outputs are FV,d1,d2,g1,g2,v1,v2,cega, theta.
Its easy to assign proper delta, gamma, vega to the respective asset1 & asset2, but how would fair value, cega, and theta be properly split? Is it best to weight these parameters based off the total delta?
for example say d1 = .4, d2 = .55 therefore theta1weighting = (.4 / (.4+.55)) = 42.10%
This would seem to work until one delta is positive and one is negative. Is there a better way to weight fair value, cega, and theta
