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I'm trying to build a crude model for the effects of delta hedging on major indices like the S&P 500. My background is more in pure mathematics so a lot of this stuff is new to me. That said I would like to know if there is a function $f$ such that $vanna=f(gamma)$, where these greeks are from the black-scholes equation. I would also appreciate it if someone pointed me to some good research papers that cover equity index gamma and vanna modeling. Thanks in advance.

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  • $\begingroup$ Are you looking for anything specific in regards to research papers that cover equity index gamma and vanna modeling? $\endgroup$ – Frido Rolloos Apr 12 at 5:20
  • $\begingroup$ I'll take what I can get but I'm especially interested in how gamma and vanna play off of each other. I.e. gamma increases which suppresses volatility or volatility increases which reduces gamma $\endgroup$ – Literally an Orange Apr 12 at 5:29

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