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A simple relationship between Greeks for Asian options

Author

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  • Tianmiao Liu
  • Yoshifumi Muroi

Abstract

Computation of Greeks is an important task in financial risk management. In the last decade, there have been many studies on the computational methods for a variety of financial options. The Malliavin calculus approach has become one of the main approaches to derive Greeks for these options, for example. In this article, we show a new relationship between Greeks (vega, rho, and theta) for Asian options. This result is obtained using elementary mathematics.

Suggested Citation

  • Tianmiao Liu & Yoshifumi Muroi, 2015. "A simple relationship between Greeks for Asian options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(3/4), pages 195-202.
    • Handle: RePEc:ids:ijfmkd:v:4:y:2015:i:3/4:p:195-202
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