I am looking to get the greeks for option chain. Which model does work better for greeks calculation especially the delta. I am having issue with the Black-Scholes Model Delta since it always overstates the delta than the one actually implied by the market. How easy is it to implement the Local Vol Delta calculation? Any leads would be helpful.
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http://quant.stackexchange.com – Rodrigo de Azevedo Apr 01 '20 at 04:15
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thanks for the link. – Himanshu Agarwal Apr 01 '20 at 05:22
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Since you posted at Quant SE, better delete this one to prevent wasted effort. – Rodrigo de Azevedo Apr 01 '20 at 05:24