Implementation - 2024.2 English - XD160

Vitis Libraries

Document ID
XD160
Release Date
2024-11-29
Version
2024.2 English

The numerical method for Greeks calculation includes finite difference, pathwise, and likelihood ratio.

In this implementation, the finite difference method is used to calculate Greeks. Finite difference methods use the following differential expression to approximate partition derivative.

\[\delta = \frac{X(t, S_t + h, r, \sigma) - X(t, S_t, r, \sigma)} {h}\]

When any of the parameter changes, MCEuropeanHestonEngine is called once to calculate the option price.