3 votes

Why are Black-Scholes derived greeks used for risk management when alternatives exist?

I do not agree with the answer by @river_rat. SABR greeks (the so-called Bartlett delta and vega) are used by practitioners in Interest Rates trading from my own experience. In general you want your ...
Hasek's user avatar
  • 814
1 vote

Why are Black-Scholes derived greeks used for risk management when alternatives exist?

Pick your poison, what is better? A simple model that is wrong or a complicated model that is also wrong. Add to that computation time on large portfolios and the simplicity of a closed form Black-...
river_rat's user avatar
  • 980

Only top scored, non community-wiki answers of a minimum length are eligible