Forums > Pricing & Modelling > Price-adjustment of the Black-Scholes delta and gamma

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 HJA24 Total Posts: 2 Joined: Apr 2020
 Posted: 2020-04-30 08:32 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 Bitcoin-options 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 Black-Scholes 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 price-adjusted delta and price-adjusted gamma OKEX and argue thatPA 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 priceAccording 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: 1195 Joined: Jun 2005
 Posted: 2020-04-30 14:53 > Please help me out, I am lostI am lost too. 1+1 = 2.
 HJA24 Total Posts: 2 Joined: Apr 2020
 Posted: 2020-04-30 17:05 thanks!
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