Tuesday, December 01, 2009

Computing the correct greeks for VIX options --volatility, delta, gamma, ...

Check here for an updated version of this post.
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2 comments:

Chris McKhann said...

Try Livevol.com - they actually compute the VIX options correctly!

VanceH- said...

Hi Chris,
Thanks a lot for the tip. This is much better than manually computing them one at a time!

-- Vance