Greek Letter Calculation (Hull 2016, 362)

Brian Lee
Aug 12, 2025
Part of: Fundamentals of Futures And Options Markets By John C. Hull

Calculating Greeks require choosing an option-pricing model.

• European options: Black-Scholes-Merton (BSM)
• American options: Binomial tree.
  May use Black-Scholes for American calls for stocks without dividends; see (Hull 2016, 304).

Use Implied Volatility (\(IV\)).