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When I use BlackScholes as the OptionPriceModel the greeks don't seem to populate (e.g. contract.Greeks.Delta). They do populate with other pricing models e.g. CrankNicolsonFD. How can I get greeks while using the BlackScholes model?
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SeriousTrader
Attaching back test…
SeriousTrader
Here's another back test with a different price model and the greeks do seem to populate…
Varad Kabade
Hi SeriousTrader,We have created a github issue to get this resolved. Subscribe to the following issue for updates. We suggest using the BinomialTian pricing model as a workaround for now. See the attached backtest for reference.Best,Varad Kabade
SeriousTrader
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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