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AnthonyBradford / optionmatrix

Financial Derivatives Calculator with 168+ Models (Options Calculator)
https://anthonybradford.github.io/optionmatrix/
GNU General Public License v3.0
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Why Asian geometric average option no sensitivity? #3

Open scchess opened 8 years ago

scchess commented 8 years ago

Asian geometric average option is priced by an adjusted Black-Scholes because the underlying is a log-normal distributed. Thus, we should be able to output the greeks, such as, delta and gamma. However, this is not given in the OptionMatrix program. Do you think you can add those?

AnthonyBradford commented 8 years ago

I'll take a look.

scchess commented 8 years ago

Thanks. I was trying to price Asian options with your program the other day and noticed greeks were given by QuantLib but not OptionMatrix.