On the errors and comparison of Vega est
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San-Lin Chung; Mark Shackleton
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Article
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2004
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John Wiley and Sons
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English
β 242 KB
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This article discusses convergence problems when calculating Vega (option sensitivity to volatility) that arise from discretization errors embedded in the lattice approach. Four alternative improvements to the traditional binomial method are discussed and investigated for performance. We also propos