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How do different models impact option Greeks?

This is an interesting and not so easy question. Here's my 2 cents: First, you should distinguish between mathematical models for the dynamics of an underlying asset (Black-Scholes, Merton, Heston ...
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How much can be said about the Greeks without picking a model?

Find the topic of model-independent properties of option prices very interesting as well. Here are some results that I am aware of and the respective references in the literature. Some are already ...
• 5,800
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American Options relation between greeks

No, you should not expect such a relationship to hold in general. The reason is that American options have an "exercise barrier" which European options don't, and this results in different prices and ...
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Why gamma for ATM option decreases as volatility increases

Think of moving volatility in the other direction. As volatility approaches zero, any call strike strictly smaller than the ATM strike, $K<K_{ATM}$, will have zero probability of ending in the ...
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