# EuropeanBinomCall_Greeks¶

## Purpose¶

Computes Delta, Gamma, Theta, Vega, and Rho for European call options using binomial method.

## Format¶

{ d, g, t, v, rh } = EuropeanBinomCall_Greeks(S0, K, r, div, tau, sigma, N)
Parameters:
• S0 (scalar) – current price.

• K (Mx1 vector) – strike prices.

• r (scalar) – risk free rate.

• div (scalar) – continuous dividend yield.

• tau (scalar) – elapsed time to exercise in annualized days of trading.

• sigma (scalar) – volatility.

• N (scalar) – number of time segments. A higher number of time segments will increase accuracy at the expense of increased computation time.

Returns:
• d (Mx1 vector) – delta.

• g (Mx1 vector) – gamma.

• t (Mx1 vector) – theta.

• v (Mx1 vector) – vega.

• rh (Mx1 vector) – rho.

## Global Input¶

_fin_thetaType

scalar, if 1, one day look ahead, else, infinitesmal. Default = 0.

_fin_epsilon

scalar, finite difference stepsize. Default = 1e-8.

## Examples¶

// Specify current price
S0 = 305;

// Specify strike prices
K = 300;

// Specify risk free rate
r = .08;

// Specify volatility
sigma = .25;

// Specify elapsed time to exercise
tau = .33;

// Specify continuous dividend yield
div = 0;

print EuropeanBinomcall_Greeks(S0, K, r, div, tau, sigma, 30);


produces:

  0.670
0.000
-38.426
65.170
56.677


## Remarks¶

The binomial method of Cox, Ross, and Rubinstein (“Option pricing: a simplified approach”, Journal of Financial Economics, 7:229:264) as described in Options, Futures, and other Derivatives by John C. Hull is the basis of this procedure.

finprocs.src