Choi, Daniel F S; Ward, Charles W R - In: The Financial Review 24 (1989) 3, pp. 507-10
Clifford W. Smith, Jr. (1976) and Robert A. Jarrow and Andrew Rudd (1983) have presented different expressions for the same option sensitivities. With the mathematical derivations omitted, the apparent differences have never been explained before. This note points out that an important identity...