Message Boards Message Boards

1 Reply
0 Total Likes
View groups...
Share this post:

Does Mathematica 10 have 2nd & 3rd Order Greeks for Options (Derivatives)?

Posted 9 years ago


the latest Maple (March) 2015 release has new formulas for Second and Third order Greeks for options (derivatives). Here is the description in the Maple Finance 2015 PDF.

I am also attaching this PDF. The PDF describes Second and Third order Greeks which I cannot find in Mathematica 10 documentation. I have found First order Greeks in Mathematica 10, but not Second and Third order. Does Mathematica 10 have these Second and Third order Greeks built in?

Second Order: Vanna, Charm, Vera, Vanna, Vomma, Veta

Third Order: Speed, Zomma, Color, Ultima

If Mathematica 10 does not have these Greeks, will you implement them in the future? If you don't have the Second and Third order Greeks built in, you should add them. Otherwise, Maple will be ahead of Mathematica and we don't want that. If Mathematica falls behind Maple, Mathematica will look bad.



Posted 9 years ago

If I am allowed,

the top 3 of frustrations I have in my relationship with Mathematica are:

  1. "Mathematica stopped working" - last time I lost 3 hours of work due to this problem
  2. Inefficiencies, here and there..
  3. Unnecessary Automation

Dan's request refers exactly to the third one. Currently available functions enable one to easily obtain n-order Greeks.

I'd prefer reliability and efficiency first of all.

POSTED BY: Sandu Ursu
Reply to this discussion
Community posts can be styled and formatted using the Markdown syntax.
Reply Preview
or Discard

Group Abstract Group Abstract