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Compute delta from the option price without vol input

A number of models used in options pricing, but by no means all, are homogeneous of degree 1 in spot price and strike. This means, $$ C(\lambda S, \lambda K) = \lambda C(S,K) $$ If you differentiate ...
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Compute delta from the option price without vol input

In most (all?) practical cases, Delta is a model-dependent measure; you need a model to compute it. Black-Scholes, Heston, ... each model has a formula for the (call) option price $C$ and its Delta $\...
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Delta of a barrier option under Heston model

I will discuss only the single barrier up-and-in put (UIP) with barrier $B \geq K, S(t)$. Other single barriers treated similarly. The answer is it depends: If correlation between the instantaneous ...
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