Option Pricing Methods

                                                                                                       Last update on December 26th, 2012
 
Liens Ignorer la navigation

Greeks : Monte-Carlo methods



Enter your parameters		  
Stock price :
Strike price :
Free risk rate (0,05 for 5%) :
Volatility per year (0,1 for 10%) :
Maturity (year) :
Number of simulations :
Option :



                                                                Values
Delta (FD method for epsilon=0,01) :
Delta (Malliavin method) :
B&S Delta :
Gamma (FD method for epsilon=0,01) :
Gamma (Malliavin method) :
B&S Gamma :