New answers tagged delta
4
votes
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 ...
- 4,729
4
votes
Accepted
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 $\...
- 5,358
2
votes
Accepted
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 ...
- 4,729
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