HJA24


Total Posts: 2 
Joined: Apr 2020 


Hi all,
A quanto option is a derivative with the underlying and strike price denominated in one currency, but the instrument itself is settled in another currency. An example of this Bitcoinoptions that are settled in BTC but the spot and strike is expressed in dollar. This has consequences for the calculation of the greeks for these options.
The standard BlackScholes delta measures the rate of change of the option price relative to the change of underlying price. BS gamma measures the rate of change of BS delta relative to the change of underlying price.
One of the exchanges adopts priceadjusted delta and priceadjusted gamma OKEX and argue that PA delta measures the rate of change of the option price (in settlement currency) relative to the percentage change of the underlying price. PA gamma measures the rate of change of PA delta relative to the percentage change of the underlying price
According to the link the difference between the BS delta and the PA delta is the price of the option (in BTC). Following the below logic (with interest rate=0) I found the proof:
I am trying to figure out if there is also a similar relationship between BS gamma and PA gamma. Please help me out, I am lost 



nikol


Total Posts: 1143 
Joined: Jun 2005 


> Please help me out, I am lost
I am lost too. 1+1 = 2. 


HJA24


Total Posts: 2 
Joined: Apr 2020 

 