# Tag Info

## Hot answers tagged replication

1

if you let the implied vol depend on K you get two terms the first is $N(d_2)$ but you get a correction term which is the slope times the vega $$\frac{\partial C}{\partial \sigma} \frac{\partial \sigma}{\partial K}.$$ (see eg my book)

Only top voted, non community-wiki answers of a minimum length are eligible