Previous Topic

Next Topic

oGK( ) Model Greeks

The Greek formulas for the Garman Kohlhagen currency option pricing model are as follows:

Equation Template

OV = option value.

S = current exchange rate.

X = exercise rate (strike).

r = domestic country's risk-free interest rate, expressed with continuous compounding.

rf = foreign country's risk-free interest rate, expressed with continuous compounding.

vol = volatility of the relative price change of the underlying asset.

T = time to maturity measured in years (actual/365 basis).

N(.) = cumulative normal distribution of (.).

iPC = 1 for call / -1 for put.

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.