Timeline for Vega and Gamma signs
Current License: CC BY-SA 3.0
2 events
| when toggle format | what | by | license | comment | |
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| Sep 21, 2016 at 21:11 | comment | added | LocalVolatility | Note that this is true for single European vanilla options. It no longer holds for portfolios of options. Even when the volatility surface is flat, you can build a portfolio of options with different maturities to obtain gamma and vega positions of opposite signs. Similarly, when the volatility smile of a maturity is not flat, you can achieve the same with a position in different strikes of that maturity. | |
| Sep 21, 2016 at 20:13 | history | answered | user16651 | CC BY-SA 3.0 |