Greeks

Scenarios

A

B

C

Δ_BAW

0.5156

0.6035

0.5225

Δ_BS1993

0.5151

0.6035

0.5225

Δ_BS2002

0.5154

0.6035

0.5225

Δ_T-TREE

0.5152

0.6033

0.5294

_BAW

19.5379

19.2716

19.9153

_BS1993

19.4847

19.2716

19.9153

_BS2002

19.4951

19.2716

19.9153

_T-TREE

19.5035

19.2714

20.3289

_BAW

−9.4356

−15.0457

−9.8153

_BS1993

−9.3404

−15.0457

−9.8153

_BS2002

−9.3612

−15.0457

−9.8153

_T-TREE

−9.3662

−15.0424

−10.0203