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Jul
30
awarded  Disciplined
Jul
3
accepted Formula for variance of European call/put in Black Scholes
Jun
28
awarded  Scholar
Jun
28
comment Formula for variance of European call/put in Black Scholes
I see, thanks !
Jun
28
comment Formula for variance of European call/put in Black Scholes
OK, I restate my question, as I realize it wasn't written the right way : do you know if in the end, we get a 'nice' formula ? Again, if there is a reference (which I guess exists), that would be fine.
Jun
28
comment Formula for variance of European call/put in Black Scholes
Yes. I am pretty sure that this follows the same derivation as for B-S formula, but curiously, I can't find any reference with it.
Jun
27
awarded  Student
Jun
27
asked Formula for variance of European call/put in Black Scholes