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4 votes

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 ...
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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 ...
Hans's user avatar
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