The Greeks of the Piterbarg option pricing framework

被引：0
|
作者：
Labuschagne, Coenraad C. A. [1 ]
von Boetticher, Sven T. [1 ]
机构：
[1] Univ Johannesburg, Dept Finance & Investment Management, POB 524, ZA-2006 Auckland Pk, South Africa
来源：
INTERNATIONAL CONFERENCE ON ECONOMICS AND MANAGEMENT INNOVATIONS (ICEMI 2017), VOL 1, ISSUE 1 | 2017年
关键词：
Piterbarg model; Greeks; option pricing; delta; gamma; vega; rho; theta;
D O I：
10.26480/icemi.01.2017.01.05
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper the Greeks are derived in the Piterbarg option pricing framework, which derives the price of an option through three unique interest rates, and collateral payments. The different scenarios of collateral payments are discussed, and closed form solutions for the option prices are derived. The Greeks are found for each scenario and implemented.
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页码：1 / 5
页数：5
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