Binary.com
and 1 contributors

NAME

Math::Business::BlackScholes::Binaries::Greeks::Delta

DESCRIPTION

Gets the delta for different options, Vanilla and Foreign for all contract types

COMMENTS

It is tricky to decide what form to use. Should the delta be with respect to 1/$S, or with respect to $S? For the binary bets, whether foreign or domestic we are differentiating with respect to $S.

For a vanilla, the correct way should be with respect to 1/$S (so that we know how many units of the domestic currency to hedge), but to keep things standard, we do it with respect to $S.

For example take USDJPY vanilla call with premium in USD. Thus this is a vanilla contract on JPY. Thus delta with respect to 1/$S tells us how many units of JPY to hedge, but with respect to $S, there really isn't a meaning and needs to be converted back before interpretation.

SUBROUTINES

See Math::Business::BlackScholes::Binaries::Greeks