Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [10251] trunk/QuantLib

[Ferdinando A. <na...@am...>]

On 4/19/07, lba...@us...
<lba...@us...> wrote:
> Delta, gamma and theta added to binomial engine for vanilla options (thanks to Steve Cook.)
> Theta is currently not close enough to analytic values. Investigation would be needed.

why theta isn't just deduced from Delta and Gamma using Black
equation? This approach is used elsewhere in QuantLib.

ciao -- Nando