4
votes
Accepted
The derivation of vega/gamma relationship
Just want to add the observation that the pricing PDE solution can be formally written as
$$
C(\tau) = e^{\tau \mathcal H} C(0) \quad (*)
$$
where $\tau$ is time to maturity and $\mathcal H$ is a ...
- 850
2
votes
The derivation of vega/gamma relationship
Even though it is true that the volatility is constant in this setting, the relationship is valid for all terminal condition or pay-off function -- beyond the typical $(\pm(S-K))_+$ -- so long as the ...
- 2,651
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