Abstract
The paper deals with calculation and analysis of parameter delta and gamma for the chooser options price. A chooser option is an option that gives its holder the right to choose at some predetermined future time whether the option will be a standard call or put with predetermined strike price and maturity time. Although the chooser options are more expensive than standard European-style options, in many cases they are more suitable instrument for hedging of the portfolio value. For effective using of the chooser option as a hedging instrument there is necessary to check values of the parameter delta and gamma for this options. Typical patterns for the variation of these parameters are shown in this paper, too.
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