Asymptotic analysis of delta for European put and call options

MaRDI QIDQ2850855zbMATH OpenFDO

Authors O. A. Skrypka

Publication date 1 October 2013

Published in Prykladna Statystyka. Aktuarna ta Finansova Matematyka (Search for Journal in Brave)

zbMATH Keywords

asymptotic analysisdeltaEuropean optionGreek coefficients

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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(2)

• Asymptotics of riskless profit under selling of discrete time call options
• Strike from volatility and delta-with-premium

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