We show that the option hedging risk of an optimal, continuously rebalanced hedging strategy in an exponential Lévy … model is well approximated by the risk taken from the discrete-time Black-Scholes model whose time step equals half of the … logarithmic stock returns in the Lévy model and option price sensitivities (greeks) in the limiting Black-Scholes model. We …

or model parameters, the so called Greeks. If a closed form solution for an option exists, Greeks can be computed … instable numerics or misleading results, specially for Greeks of higher order. We compare the computation of the Greeks in …